The Firm is based in New York City, NY and is a wholly owned subsidiary of TwentyFour Asset
Management LLP (TwentyFour UK), a fixed income specialist manager based in the City of London,
United Kingdom (UK). TwentyFour UK is 60% owned by Vontobel Asset Management UK Holdings,
Ltd, with the working partners retaining a 40% stake in the business.
TwentyFour US’ General Partner has appointed a management board who is responsible for the day
to day management. The Management Board consists of Nick Knight-Evans, Eoin Walsh, Gary Kirk
and Joseph Mastoloni (in a non-executive capacity). At present, TwentyFour US employs three
investment professionals located in New York City who together provide research and investment
advisory services to TwentyFour UK. In addition, TwentyFour US serves as a sub-adviser to an
investment company registered pursuant to the Investment Company Act of 1940 (RIC).
TwentyFour UK has no US investors or US clients and is exempt from SEC registration. However, it
serves as a participating affiliate to TwentyFour US. TwentyFour UK is authorised and regulated in
the UK by the Financial Conduct Authority.
As at December 31, 2019, the Firm had US$10,594,335,685 in assets under management on a
discretionary basis, and no assets under management on a non-discretionary basis.
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The Firm is compensated by TwentyFour UK for its services to TwentyFour UK via a cost
reimbursement calculation. The Firm also receives management fees for sub-advisory services provided
to the RIC. TwentyFour US does not charge any other fees or expenses directly to clients. Information
on fees and expenses paid by TwentyFour UK clients and the RIC’s and shareholders will be outlined
in the relevant advisory agreements or offering documents.
Where TwentyFour US enters into investment advisory or sub-advisory agreements with U.S. clients,
all fees and compensation to be received by TwentyFour US will be outlined in the relevant investment
advisory agreements.
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TwentyFour US provides advisory services to TwentyFour UK. TwentyFour UK provides investment
management services to non-U.S. institutional investors via separately managed accounts, and to
UCITS funds in Europe which are targeted toward non-U.S. investors.
TwentyFour US also provides sub-advisory services to a RIC.
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Loss All client portfolios, including the RIC and TwentyFour UK’s clients, are managed on a joint basis by
portfolio managers in both the U.S. and the UK and investment decisions are made centrally by the
team. Once agreed, trades may be executed by either team.
Principal Investment Strategy
Under normal circumstances, the Firm invests primarily in fixed-income securities and derivatives that
provide exposure to fixed-income securities. The Firm’s investments may include fixed-income
instruments of any maturity or duration. The instruments in which the Firm may invest may be
denominated in U.S. and non-U.S. currencies.
The fixed-income securities in which the Firm invests primarily include obligations issued or guaranteed
by the U.S. government and non-U.S. governments and their agencies, instrumentalities or political
subdivisions, obligations of supranational entities, quasi-sovereign debt, emerging-markets debt,
inflation-indexed securities, corporate bonds, bank loans, trust preferred securities, convertible and
non-convertible debt, contingent convertible bonds (“CoCos”), variable and floating-rate securities,
collateralized loan obligations (“CLOs”), mortgage-backed and other asset-backed securities,
collateralized mortgage obligations (“CMOs”) and other mortgage-related products (including
commercial and residential loans). The Firm may invest in other investment companies, including
exchange-traded funds (“ETFs”) and money market funds, shares of real estate investment trusts
(“REITs”) and restricted securities. The Firm may have significant exposure to the Financial sector.
However, as the sector composition of the Firm’s portfolio changes over time, the Firm’s exposure to
the Financial sector may be lower at a future date, and the Firm’s exposure to other market sectors may
be higher.
The Firm may invest in non-investment grade securities (also referred to as “high-yield” or ’’junk”
bonds).
The Firm may also invest in equity securities including preferred stocks of U.S. and foreign companies
of any market capitalization.
The Firm may take long or short positions in fixed-income and equity securities and currencies. Short
positions will generally be entered into for hedging purposes or to attempt to reduce or adjust certain
investment risks.
The Firm’s investments in derivatives generally include options, futures, forwards (including non-
deliverable forwards), swaps (including credit default swaps, total return swaps, interest rate swaps and
cross-currency swaps) and structured notes. The Firm uses derivative instruments to hedge against
fluctuations in securities prices, interest rates or currency exchange rates, to enhance total return, to
change the effective duration of its portfolio, to manage certain investment risks or to substitute for
the purchase or sale of the underlying securities or currencies. The Firm’s use of derivatives may be
extensive.
The Firm also seeks to reduce or hedge positions in instruments that may decline in value, experience
unwanted volatility or when better investment opportunities are identified.
Methods of Analysis
In selecting investments, the Firm develops a top-down macroeconomic view of the global economic
environment as indicated by factors such as interest rates, equity markets, corporate profitability,
international capital flows, government policy and other relevant inputs. The Firm then performs a
bottom-up analysis of individual issuers that focuses on an issuer’s creditworthiness and considers
historical trends and patterns in an instrument’s price and relative valuation. The Firm examines the
relative risk and return characteristics of each investment and seeks to identify opportunities to establish
long positions in income-generating instruments that, at times, may have the potential for price
appreciation.
Risk of Loss
The fixed income strategies pursued by TwentyFour US will be subject to normal market fluctuations
and other risks inherent in investing in securities. There can be no assurance that any appreciation in
the value of investments will occur. The value of investments and the income derived from them may
fall as well as rise and investors may not recoup the original amount they invest.
The descriptions contained below are a brief overview of associated risks related to fixed income
investing; however, they are not intended to serve as an exhaustive list or a comprehensive description
of all risks and conflicts that may arise in connection with the management and operations of
TwentyFour US. Investors are advised to refer to the pertinent offering documents for a pooled vehicle,
or investment advisory agreement for a more fulsome discussion of the associated risks for a particular
strategy.
Currency Exchange Rates
Currency fluctuations may adversely affect the value of a client’s investments and the income thereon
and, depending on an investor’s currency of reference, currency fluctuations may adversely affect the
value of their investment.
Derivatives Risks and Volatility
The prices of derivative instruments, including futures, options and swap prices, can be highly volatile.
Price movements of forward contracts, futures contracts and other derivative contracts are influenced
by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary
and exchange control programs and policies of governments, and national and international political
and economic events and policies. In addition, governments from time to time intervene, directly and
by regulation, in certain markets, particularly markets in currencies and interest rate related futures and
options. Such intervention often is intended directly to influence prices and may, together with other
factors, cause all of such markets to move rapidly in the same direction because of, amongst other
things, interest rate fluctuations. The use of these techniques and instruments also involves certain
special risks, including (1) dependence on the ability to predict movements in the prices of securities
being hedged and movements in interest rates, (2) imperfect correlation between the price movements
of the derivatives and price movements of related instruments, (3) the fact that skills needed to use
these instruments are different from those needed to select the securities owned by the client, (4) the
possible absence of a liquid market for any particular instrument at any particular time; which may result
in possible impediments to effective portfolio management or the ability to meet redemption. The client
may invest in certain derivative instruments, which may involve the assumption of obligations as well
as rights and assets. Assets deposited as margin with brokers may not be held in segregated accounts
by the brokers and may therefore become available to the creditors of such brokers in the event of their
insolvency or bankruptcy. The client may from time to time utilize both exchange-traded and over-
the-counter credit derivatives, such as credit default swaps as part of its investment policy and for
hedging purposes. These instruments may be volatile, involve certain special risks and expose investors
to a high risk of loss. The low initial margin deposits normally required to establish a position in such
instruments permit a high degree of leverage. As a result, a relatively small movement in the price of a
contract may result in a profit or a loss that is high in proportion to the amount of the funds actually
placed as initial margin and may result in unlimited further loss exceeding any margin deposited.
Furthermore, when used for hedging purposes there may be an imperfect correlation between these
instruments and the investment or market sectors being hedged. Transactions in over-the-counter
derivatives, such as credit derivatives, may involve additional risk as there is no exchange market on
which to close out an open position.
Counterparty and Settlement
The client will be subject to the risk of the inability of any counterparty to perform with respect to
transactions, whether due to insolvency, bankruptcy or other causes. In particular, it should be noted
that transactions may not always be settled by delivery versus payment and this may expose the client
to greater counterparty risk and potentially to loss in excess of the counterparty’s obligations to the
client.
Short Sales
A short sale involves the sale of a security that the investor does not physically own in the expectation
of purchasing the same security at a later date at a lower price to secure a profit. The establishment and
maintenance of a short position in securities can involve greater risks than would be the case with a
long position. These include the possibility of unlimited loss due to potentially unlimited price
appreciation in the securities concerned, problems associated with the cost or availability of the
securities to “borrow” for the purposes of short selling and possible difficulties in purchasing back the
securities to cover short positions in certain market conditions.
Emerging Markets
Investments in emerging markets may be more volatile than investments in more developed markets.
Some of these markets may have relatively unstable governments, economies based on only a few
industries and securities markets that trade only a limited number of securities. Many emerging markets
do not have well developed regulatory systems and disclosure standards may be less stringent than those
of developed markets.
Credit and Fixed Interest Securities
Fixed interest securities are particularly affected by trends in interest rates and inflation. If interest rates
go up, the value of capital may fall, and vice versa. Inflation will also decrease the real value of capital.
The value of a fixed interest security will fall in the event of the default or reduced credit rating of the
issuer. Generally, the higher the rate of interest, the higher the perceived credit risk of the issuer. High
yield bonds with lower credit ratings (also known as sub-investment grade bonds) are potentially more
risky (higher credit risk) than investment grade bonds. A sub-investment grade bond has a Standard &
Poor’s credit rating of below BBB- or equivalent.
Liquidity
In extreme market conditions it may be difficult for a client to realize an investment at short notice
without suffering a discount to market value. In such circumstances the investor may suffer a delay in
realizing his investment or may incur a dilution adjustment. Depending on the types of assets the clients
invest in, there may be occasions where there is an increased risk that a position cannot be liquidated
in a timely manner at a reasonable price.
Leverage
A proportion of the capital may be leveraged. While leverage presents opportunities for increasing the
capital return, it has the effect of potentially increasing losses as well. Any event which adversely affects
the underlying vehicles would be magnified to the extent the capital is leveraged. The cumulative effect
of the use of leverage in a market that moves adversely to the underlying investment vehicles could
result in a substantial loss to capital that would be greater than if capital were not leveraged.
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As mentioned previously, the Firm is a wholly owned subsidiary of TwentyFour UK, a fixed income
specialist manager based in the City of London. TwentyFour UK is 60% owned by Vontobel Asset
Management UK Holdings Ltd, with the working partners retaining a 40% stake in the business.
TwentyFour UK has no US investors or US clients and is exempt from SEC registration. However, it
serves as a participating affiliate to TwentyFour US. TwentyFour UK is authorised and regulated in the
UK by the Financial Conduct Authority.
Vontobel Asset Management UK Holdings Ltd is part of the Vontobel Holding AG family of
companies which includes banks, broker dealers, and other investment advisers. TwentyFour US does
not have any material business dealings with any of the Vontobel entities.
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Transactions and Personal Trading
TwentyFour US has adopted a Code of Ethics policy, Conflicts of Interest Policy, Insider Dealing
Policy, and Personal Account Dealing policy which together, among other things, contain provisions
designed to (i) prevent improper personal trading by employees; (ii) prevent improper use of material,
non-public information about securities recommendations made by TwentyFour US or securities
holdings of advisory clients and (iii) identify conflicts of interest, including monitoring of gifts and pay-
to-play issues that could arise due to political donations by TwentyFour US or its personnel.
Personal Trading Policy and Procedures
TwentyFour US adopted a Code of Ethics pursuant to Rule 204A-1 under the Investment Advisers
Act of 1940 (“Advisers Act”) and is predicated on the principal that the Firm owes a fiduciary duty to
its clients. Accordingly, the Firm and its employees must act in the best interest of its clients and avoid
or mitigate conflicts of interest.
To avoid potential conflicts of interest involving personal trades, the Firm’s Code of Ethics and
Personal Account Dealing policy require, among other things, that employees pre-clear personal
transactions in certain securities, including those that may also be traded for clients and shares of related
funds. Requests for approval will not be granted if the Firm identifies any conflicts with client
transactions. Employees must also report their personal securities transactions and holdings to the Firm
on a periodic basis. Thus, the Firm is able to monitor employees’ personal transactions in an effort to
identify potentially abusive or conflicting transactions.
A copy of TwentyFour US’s Code of Ethics shall be provided to any client or prospective client upon
request.
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Best Execution
TwentyFour US maintains a list of approved counterparties with whom orders are typically placed.
Subject to the terms of the applicable investment management agreement, TwentyFour US has full
discretion to choose a counterparty from the Firm’s current list of approved counterparties for
executing any order or orders, but in doing so shall assess and balance a range of all relevant factors,
including those set out in its Order Execution Policy which TwentyFour US considers (in its reasonable
determination) relevant to achieving the best result for the clients.
On a semi-annual basis, the list of approved counterparties will be reviewed (ratings and other available
financial data having been updated) by members of Risk, Compliance and the portfolio management
team and, where appropriate, the list will be amended. Any amendments to the list will be reflected in
the Firm’s portfolio management system.
Subject to any specific instructions that the Firm may receive from a client, the factors that are
considered in order to determine the manner in which an order will be executed are:
- Price
- Costs
- Size and nature of the order
- Speed
- Likelihood of execution and settlement
- Together with any other consideration relevant to the execution of the order, such as availability
of liquidity, the market impact of the order and, where relevant, the availability of appropriate
credit lines.
In determining the relative importance of these factors the Firm will take into account the status as a
client, together with the nature of the order, the characteristics of the financial instruments to which
the order relates and the characteristics of the available execution venues. In the absence of specific
instructions from a client, the Firm will exercise its discretion to determine which of these factors, or
combination of them will be relevant to achieve best execution.
Ordinarily, price will merit a high relative importance in obtaining the best possible result for clients.
The next most importance factor is likely to be liquidity. However, in certain circumstances, for some
client orders, financial instruments or markets, the Firm, at its absolute discretion, may decide that other
factors may be more important in determining the best possible result in accordance with this policy.
The Firm is required to monitor the effectiveness of the order execution arrangements and assess on a
regular basis whether the execution venues included in the ‘Counterparty approved list’ provide for the
achievement of the best results for clients.
Where the Firm “executes” transactions on behalf of a client it will monitor the result of transactions
against the result that could be obtained in the market and keep itself aware of developments in the
market place that may impact the results obtained. In the event that the Firm identifies any deficiencies
it will make appropriate changes to this Policy.
Allocation and Aggregation
Investment opportunities will be allocated on a basis believed to be fair and equitable over time. The
portfolio management team will take steps to ensure that no Client portfolio will be systematically
disadvantaged by the aggregation, placement, or allocation of trades.
The Firm’s policy is to aggregate portfolio transactions where possible and when advantageous to all
clients involved. In these instances clients participating in any aggregated transactions will participate at
the average price per security. Where aggregation does occur and the aggregated order is partially
executed then the Firm must allocate the trades in accordance with its Trade Allocation policy.
The Firm will allocate trades with consideration to the prime determinants of market and credit
exposure, cash availability and asset class/sector exposure and liquidity, and with regard to the suitability
of such investments to each portfolio. In determining the suitability of each trade to a portfolio,
consideration will be given to a number of factors, the most important being the portfolio’s investment
objectives and strategies, existing portfolio composition and cash levels.
Where an investment opportunity is suitable for two or more portfolios, the Portfolio Managers will
allocate such trades equitably in order to ensure that portfolios have equal access to the same quality
and quantity of investment opportunities, and in determining such allocations will consider a variety of
factors and principles, including, but not limited to, the following:
• Legal and regulatory restrictions affecting the participation rates for any portfolios managed;
• The need within a particular portfolio for liquidity;
• Other investment opportunities that may be available to a portfolio;
• Anticipated volatility associated with the investment in respect of each portfolio’s investment
strategy and objectives;
• Each portfolio’s own investment restrictions;
• Where allocation of an investment opportunity would be insufficient to make up a meaningful
portion of an individual portfolio;
• The avoidance of odd lots relative to the size of the portfolio’s participation in the investment
opportunity that could cause liquidity concerns in the future;
• The avoidance of excessive transaction costs relative to the size of the portfolio’s participation
in the investment opportunity;
• The need to rebalance positions held by any portfolio in an investment due to capital infusions
or withdrawals.
Transactions are allocated promptly, and no reallocations are permitted from one account to another
except where the original allocation was done in error.
Cross Trading
Where appropriate, a bond or other instrument may be bought on behalf of one client’s portfolio from
another client’s portfolio and the trading bid/offer spread thereby largely eliminated. Prior to effecting
any such transaction, the relevant Portfolio Manager must present the rationale for the transaction to
Compliance in writing and may not proceed without the written consent from Compliance and comply
with the Firms Crossing Policy.
Trade Errors
The Firm endeavors to detect trade errors prior to settlement and correct them in an expeditious
manner. TwentyFour US’s general policy is to seek to investigate and resolve trade errors in a timely
manner. The Firm’s clients will not bear any loss arising from such an error and will retain any gains.
Soft Dollars/Client Commission Usage
The Firm has not entered into any soft dollar or client commission sharing agreements. To the extent
that TwentyFour US uses investment research, it will do so consistent with guidance from the SEC and
the European Commission regarding acceptable methods to pay for investment research under
legislation in the European Union known as the Markets in Financial Instruments Directive (MiFID
II), which came into effect on January 3, 2018.
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TwentyFour US and TwentyFour UK portfolio managers review client accounts on an ongoing basis.
In addition, TwentyFour UK’s Product Committee conducts an independent objective review on a
periodic basis to ensure portfolio holdings are in line with client guidelines, objectives and restrictions.
TwentyFour US does not provide clients with regular reporting, but may provide certain information
to clients upon request.
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The Firm has not engaged any third parties to solicit clients or investors. TwentyFour UK has entered
into solicitation arrangements for clients and investors with third parties, but those arrangements are
not targeted toward U.S. investors.
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The Firm does not have SEC-defined custody of any client assets. The Firm will not take or maintain
physical custody of any client cash or securities and conducts all business operations such that client
cash and securities are preserved in the safekeeping of qualified custodians.
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TwentyFour US exercises investment discretion with regard to the services provided to TwentyFour
UK. The client portfolios are managed on a joint basis by portfolio managers in both the U.S. and the
UK and investment decisions are made centrally by the team. Once approved, trades may be executed
by either team.
TwentyFour US also exercises discretion with respect to the assets it manages as part of its sub-adviser
relationship with RIC.
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In accordance with its fiduciary duty to clients and Rule 206(4)-6 under the Advisers Act, the Firm has
adopted and implemented written policies and procedures governing the proxy voting of client
securities or acting with respect to corporate actions. The Firm’s utmost concern is that all decisions
are made solely in the best interest of its clients. Where a proxy vote or corporate action raises a
potential conflict between the Firm’s and a client’s interest, the policies require the Firm follow a written
hierarchy to mitigate any conflicts.
A copy of such policies and procedures will be available upon request, as well as a record of all votes
cast on behalf of the Firm’s clients.
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TwentyFour US has never filed for bankruptcy and is not aware of any financial condition that is likely
to impair its ability to provide services to clients.
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