TCL - Net Asset Values as at 14 September 2022

MKTUPDTE

Fri, Sep 16 2022 08:30 am

JANUS HENDERSON FUND MANAGEMENT UK LIMITED

THE CITY OF LONDON INVESTMENT TRUST PLC

LEGAL ENTITY IDENTIFIER: 213800F3NOTF47H6AO55

15 September 2022

As at close of business on 14 September 2022, the unaudited net asset value per share calculated in accordance with the AIC formula (including current financial year revenue items) was 388.3p and the net asset value per share with debt marked at fair value was 392.0p.

As at close of business on 14 September 2022, the unaudited net asset value per share (excluding current financial year revenue items) was 382.3p and the net asset value per share with debt marked at fair value was 386.0p.

Debt marked at fair value is the Company's estimate of the “fair value" of its senior secured notes. The current estimated fair value of the Company's senior secured notes is based on a discount rate calculated using the redemption yield of the relevant existing UK Gilt plus a credit spread determined by the difference in redemption yields between the ICE BofAML 5-10 Year A Sterling Non-Gilt Index and the ICE BofAML 5-10 Year UK Gilt Index for the 4.53% senior secured 2030 notes, and the spread between the redemption yield of the ICE BofAML 15+ Year A Sterling Non-Gilt Index and the ICE BofAML 15+ Year UK Gilt Index for the 2.67% senior secured 2046 notes and 2.94% senior secured 2049 notes. The discount rate is calculated and updated at each month-end and applied daily to determine the Company's published fair value NAVs. In addition, evidence of issues in the private placement market may be taken into consideration where spreads significantly diverge from those in the public market.