RM Infrastructure Income : Annual Report 12 months to 31 Dec 2023

RM Infrastructure Income PLC

Annual Report & Accounts

for the year ended 31 December 2023

Responsible investing

Through active stakeholder engagement combined with the integration of environmental, social and corporate governance considerations throughout the investment process.

RM Infrastructure Income PLC

Annual Report & Accounts 2023

Contents

Strategic report	Page
About us	1
Portfolio at a glance	2
Market	7
Company objectives	8
Chair's statement	9
Investment Manager's report	11
Investment policy, results and other information	13
Risks and risk management	15
Stakeholder engagement	18
Environmental, Social and Governance ("ESG")	21
Governance
Directors' report	24
Corporate governance	30
Directors' remuneration policy report	35
Directors' remuneration report	36
Report of the Audit and Management Engagement Committee	38
Directors' responsibility statement	40
Independent Auditor's report	41
Financial statements
Statement of comprehensive income	48
Statement of financial position	49
Statement of changes in equity	50
Statement of cash flows	51
Notes to the financial statements	53
Other information
Alternative Performance Measures ("APMs")	74
Glossary	77
Directors, Investment Manager and Advisers	79

rm-funds.co.uk

Strategic report >

Governance Financial statements Other information

Portfolio at a glance Market Company objectives Chair's statement Investment Manager's report

Investment policy, results and other information Risks and risk management

Stakeholder engagement

ESG

RM Infrastructure Income PLC

Annual Report & Accounts 2023

About us

At a General Meeting held on 20 December 2023, RM Infrastructure Income plc ("RMII" or the "Company") adopted a revised Investment Objective in order to facilitate a managed wind-down of the Company.

The Company aims to conduct an orderly realisation of the assets of the Company, to be effected in a manner that seeks to achieve a balance between returning cash to Shareholders promptly and maximising value.

Prior to this, the Company's investment objective was to generate attractive and regular dividends through investment in secured debt instruments of UK Small and Medium sized Enterprises ("SMEs") and mid-market corporates including any loan, promissory notes, lease, bond, or preference share (such debt instruments, as further described on page 13, being "Loans") sourced or originated by RM Capital Markets Limited (the "Investment Manager") with a degree of inflation protection through index-linked returns where appropriate.

Company highlights (as at 31 December 2023)

6.5p £104.5m

Dividend pence per share		Gross assets

0.969x 3.16%

Dividend cover		NAV Total Return

1

RM Infrastructure Income PLC

Annual Report & Accounts 2023

Portfolio at a glance

Operational highlights

• Diversified portfolio with gross assets of £104.5m invested across 31 loans and one wholly owned asset, across 8 sectors and 14 sub-sectors.
• A low interest rate sensitivity portfolio, with an average duration of circa 1.69 years and a weighted average yield of 10.91%.
• NAV Total Return over the last twelve months of 3.16% and inception to date of 41.56%.
• As at 31 December 2023, all outstanding debt has been fully repaid with the company now completely ungeared.

Financial highlights

Financial information		Year ended		Year ended
	31 December 2023		31 December 2022
Gross asset value (£'000)		£104,516		£126,076
Net Asset Value ("NAV") (£'000)		£104,516		£108,805
NAV per Ordinary Share (pence)		88.88p		92.49p
Ordinary Share price (pence)		74.25p		85.00p
Ordinary Share price discount to NAV1		(16.46%)		(8.1%)
Ongoing charges1		1.84%		1.86%
Gearing (net)1		nil		13.1%
Performance summary		% change2,4		% change3,4
Total return - Ordinary Share NAV and dividends1		+3.16%		+5.0%
Total return - Ordinary Share price and dividends1		-4.63%		+3.7%

1. These are Alternative Performance Measures ("APMs").
2. Total returns for the year to 31 December 2023, including dividend reinvestment.
3. Total returns for the year to 31 December 2022, including dividend reinvestment. 4.Source: Bloomberg.

As at 19 April 2024, the latest date prior to the publication of this document, the Ordinary Share price was 77p per share and the latest published NAV was 89.18p per share as at 31 March 2024.

Alternative Performance Measures ("APMs")

The financial information and performance summary data highlighted in the footnote to the above table is considered to represent APMs of the Company. Definitions of these APMs together with how these measures have been calculated can be found on pages 74 to 76.

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Strategic report >

Governance Financial statements Other information

Portfolio at a glance Market Company objectives Chair's statement Investment Manager's report

Investment policy, results and other information Risks and risk management

Stakeholder engagement

ESG

RM Infrastructure Income PLC

Annual Report & Accounts 2023

Sector breakdown (as at 31 December 2023)

Healthcare			Care home: 16%
			Health and well-being:10%
			Specialist care: 4%
Hotel & Leisure			Hotel: 30%
Accommodation			Student accommodation: 8%
Asset Backed Lending			Asset Backed Lending: 5%
Manufacturing			Auto parts manufacturer: 11%
Construction			Construction: 4%
Energy efficiency			Energy efficiency: 5%
Other			Childcare & Education: 4%
			Transport Assest -Ports business: 2%
			Commercial Property - Restaurant: 1%

		Other
Energy Efficiency	7%
Construction	5%
	4%		Healthcare
		30%
Manufacturing	11%
Asset Backed	5%
Lending
	8%
Accommodation
		30%

Hotel & Leisure

Fund performance since inception

% Total returns to date

145

RMII NAV Total Return of: 42%

RMII Share Price Total Return of: 19%

135

S&P Global Leveraged Loan Index GBP Hedged Total Return of: 24%

125

115

105

95

85
		Jul	Oct	Jan	Apr	Jul				Jun								Apr	Jul	Oct	Jan	Apr	Jul	Sep Dec Mar Jun Sep Dec
Feb	April	Sep	Dec Mar	Sep Nov Feb May Aug Nov Feb
17	18	21	22
17	17	17	18	18	18	18	19	19	19	19	20	20	20	20	21	21	21	22	22	22	22	23	23	23	23

Distribution record (pence per share)

Investment portfolio since inception

50							6.5	43.725
45							43
40						6.5
35					6.5
30
			6.5
25
20			7.025
15		6.5
10
4.2
5
0	2017	2018	2019	2020	2021	2022	2023 Achieved Target

Environmental Infrastructure Social Infrastructure

Other (Non Core)

	4.99
	%
52.82%	42.19%

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RM Infrastructure Income PLC

Annual Report & Accounts 2023

Portfolio at a glance

continued

Portfolio (as at 31 December 2023)

Largest 10 loans by drawn amounts across the entire portfolio

	Investment type		Valuation†		Percentage of
Business activity	(Private/Public/Bond)		£'000		gross asset (%)
Healthcare	Private Loans		12,994		12.40
Manufacturing	Private Loans		9,980		9.50
Healthcare	Private Loans		8,799		8.40
Hotel & Leisure	Private Loans		8,115		7.80
Hotel & Leisure	Private Loans		5,287		5.10
Asset Backed Lending	Private Loans		4,707		4.50
Accommodation	Private Loans		4,434		4.20
Hotel & Leisure	Private Loans		4,178		4.00
Hotel & Leisure	Private Loans		3,691		3.50
Healthcare	Private Loans		3,654		3.50
Ten largest holdings			65,839		62.90
Other private loan investments			25,127		24.10
Wholly owned asset			2,966		2.80
Total holdings			93,932		89.80
Other net current assets			10,584		10.20
Gross assets*			104,516		100.00

• The Company's gross assets comprise the net asset values of the Company's Ordinary Shares and the Bank loan, which had been repaid at the year end, calculation can be found on page 74.
  † Valuation of private loans conducted by external Valuation Agent.

31 10.91%

Number of loans	Average yield

4

Strategic report >

Governance Financial statements Other information

Portfolio at a glance Market Company objectives Chair's statement Investment Manager's report

Investment policy, results and other information Risks and risk management

Stakeholder engagement

ESG

RM Infrastructure Income PLC

Annual Report & Accounts 2023

Full portfolio (as at 31 December 2023)

Loan	Borrower			Business			Market
ref#	name	Deal type	Sector	description		Nominal (£)	value (£)		Valuer	Payment
88	Private Loan - SPV	Bilateral Loan	Healthcare	Care home		12,871,346	12,994,338		V Agent	Cash
39	Beinbauer	Syndicated Loan	Manufacturing	Auto Parts Manufacturer		10,022,097	9,980,275		V Agent	PIK/Cash
76	Gym Franchise	Bilateral Loan	Healthcare	Health and Well-being		8,553,696	8,798,765		V Agent	Cash
66	Private Loan - SPV	Bilateral Loan	Hotel & Leisure	Hotel		8,504,440	8,115,336		V Agent	Cash
67	Private Loan - SPV	Bilateral Loan	Hotel & Leisure	Hotel		5,540,560	5,287,063		V Agent	Cash
15	Voyage Care	Bond	Healthcare	Specialist Care		5,000,000	3,654,167		External	Cash
80	Private Loan - SPV	Bilateral Loan	Hotel & Leisure	Hotel		5,000,000	3,690,514		V Agent	Cash
60	Private Loan - SPV	Bilateral Loan	Asset Backed Lending	Asset Backed Lending		4,693,916	4,707,150		V Agent	Cash
79	Private Loan - SPV	Bilateral Loan	Construction	Construction		4,500,000	3,321,462		V Agent	Cash
12	Private Loan - SPV	Bilateral Loan	Accommodation	Student accommodation		4,430,000	4,434,438		V Agent	Cash
73	Private Loan - SPV	Bilateral Loan	Hotel & Leisure	Hotel		4,000,000	4,178,126		V Agent	Cash
68	Equity	Equity	Accommodation	Student accommodation		3,600,000	2,966,261		V Agent	N/A
62	Trent Capital	Bilateral Loan	Energy Efficiency	Energy Efficiency		3,259,437	3,026,936		V Agent	PIK
58	Private Loan - SPV	Bilateral Loan	Hotel & Leisure	Hotel		3,107,657	2,697,306		V Agent	PIK
99	Private Loan - SPV	Bilateral Loan	Hotel & Leisure	Hotel		2,881,472	2,907,875		V Agent	Cash
92	Private Loan - SPV	Bilateral Loan	Hotel & Leisure	Hotel		2,458,629	1,814,721		V Agent	Cash
95a	Private Loan - SPV	Bilateral Loan	Childcare & Education	Childcare		2,349,061	2,132,123		V Agent	Cash
71	Euroports	Syndicated Loan	Transport Assets	Ports business		1,733,853	1,681,838		External	Cash
96	Private Loan - SPV	Bilateral Loan	Energy Efficiency	Energy Efficiency		1,539,700	1,601,159		V Agent	Cash
97a	Private Loan - SPV	Bilateral Loan	Healthcare	Care home		1,258,536	1,286,099		V Agent	Cash
74	Private Loan - SPV	Bilateral Loan	Accommodation	Student accommodation		930,000	0		V Agent	Cash
87	Private Loan - SPV	Bilateral Loan	Commercial Property	Restaurant		782,623	796,761		V Agent	Cash
76.1	Gym Franchise	Bilateral Loan	Healthcare	Health and Well-being		747,017	765,684		V Agent	PIK
98	Private Loan - SPV	Bilateral Loan	Childcare & Education	Childcare		742,500	791,403		V Agent	Cash
63	Trent Capital (Fusion) RF	Bilateral Loan	Energy Efficiency	Energy Efficiency		612,844	0		V Agent	PIK
97b	Private Loan - SPV	Bilateral Loan	Healthcare	Care home		566,036	568,330		V Agent	Cash
81	Private Loan - SPV	Bilateral Loan	Finance	Wealth Management		500,000	501,839		V Agent	Cash
95b	Private Loan - SPV	Bilateral Loan	Childcare & Education	Childcare		468,212	444,630		V Agent	Cash
91	Private Loan - SPV	Bilateral Loan	Childcare & Education	School		450,000	448,467		V Agent	Cash
94a	Gym Franchise	Bilateral Loan	Healthcare	Health and Well-being		228,170	239,265		V Agent	Cash
52	Private Loan - SPV	Bilateral Loan	Clean Energy	Renewable heat incentive		13,496	13,665		V Agent	Cash
				Total		101,345,298	93,931,896

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RM Infrastructure Income PLC

Annual Report & Accounts 2023

Portfolio at a glance

continued

Portfolio statistics1 (as at 31 December 2023)

CBILS/RLS Guarantee

Investment 15%

Coupon

Senior

47%1

Fixed

82%

Hold	Co		Junior
14%			24%

Floating

18%

0%	10%	20%	30%	40%	50%	60%	70%	80%	90%	100%

Portfolio analysis (as at 31 December 2023)

Portfolio focused on relatively short dated high yielding fixed rate loans with 100% of the portfolio loan tenor sub 5 years.

Investments ranking1

Senior: 47%

Junior: 24%

Hold Co: 14%

CBILS / RLS Loans: 15%

Coupon type

Fixed: 82%

Floating: 18%

Index-linked:0%

Annualised yield		Maturity profile
		< 7.5% yield: 6%				0-3 years: 90%
		7.5-9.5% yield: 35%				3-5 years: 10%
		> 9.5% yield: 59%				> 5 years: 0%

1. Including wholly owned asset

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Strategic report >

Governance Financial statements Other information

Portfolio at a glance Market Company objectives Chair's statement Investment Manager's report

Investment policy, results and other information Risks and risk management

Stakeholder engagement

ESG

RM Infrastructure Income PLC

Annual Report & Accounts 2023

Market

Market environment

For interest rate products, the market was very weak for the first half of the year with UK government bond yields rising from January 2023 and peaking during late June 2023, with 5-year UK yields touching circa 4.9%. The remaining three months of the year saw a sustained rally with 5-year UK yields closing at circa 3.5%. Credit spreads were strong during the reporting period with the Markit iTraxx Crossover Index opening at circa 400 and closing at circa 310 - although the journey was not linear as spreads widened to circa 500 in March 2023, before tightening over the summer to then widen into the autumn before a strong year end saw spreads tighten from 460 in October to close the year at 310.

Overall, whilst the market environment for credit was relatively benign, the high level of the Sterling Overnight Average "SONIA" is providing tighter financial conditions. Borrowers who are seeking a refinance are seeing SONIA levels above 5% currently, which will affect their ability to refinance. In the US markets in particular, we are starting to see this affecting Commercial Real Estate "CRE" and we expect this to continue whilst front end interest rates remain elevated.

Markit iTraxx Europe Crossover index

The Markit iTraxx Europe Crossover index

550

500

points	450
basis
Spread,	400
	350
	300
	23
	Jan

23 Feb

23 Mar

23 Apr

23 May

23 Jun

Jul23

	23
ug
A

23 Sep

23 Oct

23 ec23

Nov D

comprises 75 equally weighted credit default swaps on the most liquid sub-investment grade European corporate entities. This is the most liquid reference point for high yield credit in Europe. Spreads opened the year at 460bps and softened throughout the year, tightening down to 310bps end of December 2023.

7

RM Infrastructure Income PLC

Annual Report & Accounts 2023

Company objectives

Although the Company has demonstrated strong NAV total return performance over the longer term the discount to NAV per Share at which the Shares trade has been both wide and persistent despite measures taken by the Board to seek to address this through the use of buybacks and the provision of a periodic realisation opportunity. This, coupled with the small scale of the Company and the low levels of liquidity in the Company's shares has restricted the Company's ability to grow.

As set out in the Company's announcement on 23 May 2023, in April 2023 the Board received a non-binding indicative proposal which involved a combination of all the Company's assets with another investment company managed by Gravis Capital Partners (as disclosed on 11 August 2023). The combination was proposed to be structured under section 110 of the Insolvency Act 1986 with no option, partial or otherwise, for you as a shareholder to elect to receive cash.

The proposal was considered alongside a wide array of potential options under a broader review of the Company's future strategy: a potential continuation of the Company's existing investment policy and strategy, a full or partial exit opportunity, a combination of the Company's assets with another suitable investment company or fund and a managed wind-down. The Board consulted with Shareholders on these options and concluded that a partial exit opportunity would only exacerbate the challenges the Company faces, as it would further reduce the size of the Company.

Following the receipt of the first proposal, the Board received two additional business combination proposals, as described in the Company's announcement on 10 July 2023.

Having considered the various proposals in detail, the Board concluded that no better option existed which was likely to receive the required Shareholder consent, and on 6 September 2023, the Board announced its decision to put forward a proposal for a managed wind-down of the Company. Consequently, on 20 December 2023, the Company revised its objective to implement a managed wind-down of the company. Its revised objective is as follows:

Revised objective

• The Company aims to conduct an orderly realisation of the assets of the Company, to be effected in a manner that seeks to achieve a balance between returning cash to Shareholders promptly and maximising value.

The managed wind-down process is monitored closely by the Board further details can be found in the Directors' report on page 24. The Investment Manager keeps the Board updated on latest developments as the managed wind-down process progresses which is also discussed at each of the Company's quarterly Board meetings.

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