GCP Asset Backed Income Fund Limited
Annual report and financial statements
for the year ended 31 December 2024
GCP Asset Backed Income Fund LimitedAnnual report and financial statements for the year ended 31 December 2024
Introduction
1 At a glance – 31 December 2024
Highlights for the year
2 Investment objectives and KPIs
3 Portfolio at a glance
4 Chairman’s statement
Strategic report
8 Strategic overview
10 Business model
12 Investment Manager’sreport
18 Financial review of the year
22 Sustainability
24 Stakeholders
30 Risk management
Governance
40 Board of Directors
41 The Investment Manager
42 Board leadership and purpose
43 Division of responsibilities
46 Composition, succession and evaluation
49 Audit, risk and internal control
52 Remuneration
54 Directors’ report
Financial statements
58 Statement of Directors’ responsibilities
59 Independent Auditor’s report
64 Statement of comprehensive income
65 Statement of financial position
66 Statement of changes in equity
67 Statement of cash flows
68 Notes to the financial statements
Additional information
93 Shareholder information
94 Alternative performance measures
(unaudited)
97 Glossary
99 Corporate information
Contents About the Company
GCP Asset Backed Income
Fund Limited (the “Company”)
is a listed investment company
which focuses predominantly
oninvestments in UK asset
backed loans.
Following shareholder approval at the May2024
AGM, the Group is pursuing a managed wind‑down,
with the objective of realising all existing assets
in an orderly manner. The portfolio remains
diversified across asset backed loans in the
social infrastructure, property, energy and
infrastructure, and asset finance sectors, primarily
located in the UK.
The Company is a closed‑ended investment
company incorporated in Jersey. It has a premium
listing on the Official List of the FCA with its
shares admitted to trading on the LSE since
23October 2015.
At 31 December 2024, it had a market capitalisation
of £163.9 million. The Company is a constituent of
the FTSE All‑Share Index.
www.gcpassetbacked.co.uk
At a glance – 31 December 2024
NAV per ordinary share p
Market capitalisation £m
Share price p
Value of investments
1
£m Dividends for the year p
Profit/(loss) for the year £m
2023
2023
2023
2023
2023
2023
2022
2022
2022
2022
2022
2022
2024
2024
2024
2024
2024
2024
163.9
76.00
279.2
65.60
364.7
84.00
173.9
81.80
366.8
93.21
435.1
94.90
6.3
2
(10.3)
6.3
18.3
6.3
7.7
Highlights for the year
— Dividends of 6.3
2
pence per share declared
and paid in respect of the year. Aggregate
dividend payments over the last twelve months
represent a 8.3% yield on the Company’s
closing share price at 31December2024.
— All resolutions put to the AGM and EGM held
in May 2024 were duly passed, which resulted
in a change in the Company’s investment
objective to undertake a managed wind‑down
and realise all existing assets in the Company’s
portfolio.
— Strong progress has been made on the
Company’s managed wind‑down. A total of
210.0 million shares were redeemed in the
year, returning £188.2 million to shareholders
and representing 67.4% of the market
capitalisation at 31 December 2023.
— Loss for the year of £10.3 million
(31December2023: profit of £18.3 million).
The reduction primarily reflects net valuation
losses and write‑downs on the portfolio.
Further information on financial performance
is included on page 18.
— NAV per ordinary share of 81.80
4
pence at
31December 2024, a decrease of 13.9% from
the prior year due to discount rate and fair
value adjustments applied to the portfolio
by the independent Valuation Agent as part
of the Orderly Realisation of the portfolio.
Further information is included in the
Investment Manager’s report on pages 12
to17.
— Exposure to a diversified, partially inflation
and/or interest rate‑protected portfolio of 25
asset backed loans with a third party valuation
of £170.8 million
5
at 31 December 2024.
— Repayments of £166.5 million received in
the year, generating repayment fees of
£0.5million and generating an average IRR
of 8.1%. Interest amounts of £4.0million
werecapitalised in accordance with
contractual terms.
— Total NAV return
3
of ‑3.3% (31December2023:
5.0%) and an annualised total NAV return
since IPO
3
of 43.6%.
— Post year end, the Group received repayments
totalling £9.2 million.
1. Includes the valuation of the Subsidiary, refer to note 11 to the financial statements for further information.
2. Total dividends of 6.325 pence include a quarterly dividend of 1.58125 pence per share for the quarter to 31 December 2024, which was declared post year end.
3. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
4. Does not include a provision for the dividend in respect of the quarter to 31 December 2024, which was declared and paid post year end.
5. Valuation of the portfolio held by the Subsidiary. The Company makes its investments through its wholly owned Subsidiary. Refer to note 1 to the financial statements for
further information.
1
Introduction
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Investment objectives and KPIs
The Company’s purpose as a closed‑ended investment company is to meet its
investment objective, which is to undertake a managed wind‑down of the Company
and realise all existing assets in the portfolio in an orderly manner.
Undertake a managed
wind‑down
Realise all existing
assets
Complete in an
orderly manner
To facilitate the cost‑effective
return of capital to shareholders.
To maximise the value received from
the sale or repayment of loans.
To facilitate timely capital returns
to shareholders.
Key performance indicators
Further information on Company performance can be found on pages 18 to 21.
1. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
2. A total of 210.0 million shares were redeemed in the year, returning £188.2 million to shareholders and representing 49.3% of the issued share capital at 31 December 2024.
3. Total dividends of 6.325 pence include a quarterly dividend of 1.58125 pence per share for the quarter to 31 December 2024, which was declared post year end.
The Company is undergoing a managed
wind‑down of assets and a return of capital
to shareholders.
The Group is invested in a portfolio of 25
asset backed loans with a weighted average
life of eight years.
The Company has returned capital to
shareholders through the redemption of
shares while maintaining the dividend for
theyear.
210.0m
Shares redeemed in the year
£166.5m
Loan repayments received in the year
49.3%
2
Percentage of capital returned
toshareholders in the year
£188.2m
Value of shares redeemed in the year
8.1%¹
Average IRR of loans repaid in the year
6.3p
3
Dividends paid for the year
2
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Portfolio at a glance
Portfolio of 25 asset backed loans with an average maturity of eight years which are
partially inflation and/or interest rate protected. The loans fall within the following
sectors and are predominantly secured against physical assets and contracted cash
flows in the UK.
1. The classification of the Company’s senior or subordinated security is determined from the terms of the facility agreement with each borrower. However, in some cases,
theborrower may utilise the Company’s senior ranking loan for the purpose of lending to a third party, and for which on a look‑through basis, the Company’s reported senior
security is subordinated. In such cases, the independent Valuation Agent fair values the Company’s loan as a subordinated loan.
2. The Group had exposure to overseas assets located in Europe and the US at the year end.
Number of loans within sector
1
Area of square corresponds to valuation of sector
Percentage of portfolio by value%
25
loans
11
9
4
1
Property
£56.4m
33%
Social infrastructure
£91.9m
54%
Energy and infrastructure
£4.7m
3%
Asset finance
£17.8m
10%
Senior ranking security
1
76%
UK exposure
2
88%
Secured against
physical assets
85%
3
Introduction
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Alex Ohlsson
Chairman
I am pleased to present the Company’s annual report
for the year ended 31 December 2024.
Introduction
Over the past year, heightened economic
uncertainty influenced by global elections and
ongoing geopolitical conflict, high central bank
rates and evolving credit markets have presented
the Company with challenges. These factors have
impacted borrower liquidity and asset valuations,
as well as demand for the Company’s shares,
causing the shares to trade at a discount¹ to
NAV. Thistrendisnot unique to the Company and
has been observed across the listed alternative
income sector.
Orderly Realisation
Following the strategic review announced in
December 2023, and the subsequent vote at
the Company’s AGM in May 2024, shareholders
elected for an Orderly Realisation of the
Company’s assets. Asaconsequence, the
Company’s investment objectives and policy
have been amended to recognise an Orderly
Realisation as the Company’s main objective.
TheCompany and the Investment Manager
published a Realisation Plan in July2024. Since
this time, the Board andInvestment Manager
have worked to implement the Realisation Plan
and maximise shareholder value.
At the end of the reporting period, the Company
had returned £188.2 million to shareholders,
representing 67.4% of the Company’s market
capitalisation at 31 December 2023. Thisis a
significant achievement, and is broadly in line with
the Company’s Realisation Plan. Whilechallenges
such as alignment with borrower priorities and
market conditions remain, the Board is confident
and remains committed to the continued delivery
of the plan.
Investments
At the end of the reporting period, the Group’s
investment portfolio comprised 25 loans with a
fair value of £170.8 million (31December 2023:
£362.8 million). During the year, the Company
focused on actively managing its existing assets,
with no new investments made during the year.
The Group received repayments of £166.5 million
in the year, generating an average IRR of 8.1%.
The portfolio’s weighted average annualised
yield¹ stood at 8.7% as of 31 December 2024.
Problem loans represented 23% of investment
fair value at year end. During the year, significant
progress was made in addressing outstanding
problem and watchlist loan positions. Any actual
or perceived distress of investments identified
bythe Group’s independent Valuation Agent has
been incorporated into the fair value of these
investments at the year end.
Financial performance, NAV andshare price
The Company generated total losses of
£4.3million during the year (31 December2023:
£26.3million), with interest income of
£22.8million (31 December 2023: £31.7 million).
Total losses were £10.3 million (31 December
2023: profit of £18.3 million), adecrease
compared to the prior year, driven by asset‑level
revaluations and write‑downs of £25.9 million
generally stemming from the accelerated
redemption strategy. These include defaults by
borrowers facing significant challenges due to
ongoing market conditions and realisation of
underlying collateral assets at depressed prices.
Furthermore, following further consideration
of valuation inputs as part of the year‑end
reporting process, the Board adopted a revised
valuation of one of the Group’s loans secured
against a property asset prior to the finalisation
of the financial statements. Further information
is included on page 14.
Chairman’s statement
1. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
4
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
For more information,
pleaserefer to the
Investment Manager’s
reporton pages 12 to 17.
Adjusted EPS
1
was 4.90 pence per share (2023:
7.02 pence per share), compared to dividends of
6.325 pence per share for the year (2023: 6.325
pence per share).
NAV per share decreased from 93.21 pence per
share at 31 December 2023 to 81.80 pence per
share at 31 December 2024. The share price
traded at an average discount¹ to NAV of 20.1%
during the year. The share price at the year end
was 76.00 pence per share. This was a 15.9%
increase from the previous year, which closed at
65.60 pence per share.
Cash resources, dividend policy
andsharebuybacks
The Company’s RCF with RBSI was fully repaid
in December 2023 and matured as planned
in August 2024. Cash generated from asset
realisations supported a capital return of £143.12
million through a compulsory redemption in
June 2024, with a redemption ratio of 37.5%
of shares in issuance (excluding shares held in
treasury). A second compulsory redemption
of £45.04 million was completed in November
2024, with a redemption ratio of 18.95% of
shares in issuance at a price of 89.33875 pence
per share. This redemption was funded by
continued loan repayments and progress made
during the second half of the year implementing
the Realisation Plan. In total, the Company
returned £188.2 million through compulsory
redemptions during the year. Noshare
buybacks were undertaken during the year as
the Company prioritised the return of capital
through compulsory redemptions, rather than
share buybacks. The most appropriate means
of returning the Company’s cash resources to
shareholders remains under regular review by
theBoard.
Investment Manager
The Investment Manager has been appointed
under a revised investment management
agreement to deliver the Company’s revised
investment objective and policy. As part of these
revisions, the annual management charge has
been reduced to 0.75% and an incentive fee that
aligns the Investment Manager’s interests with
those of shareholders has been agreed. Refer to
page 91 for further information on the incentive
fee.
Board changes
During the year, Philip Braun joined the Board as a
non‑executive Director, bringing nearly 30 years
of experience in audit and financial services.
He was the head of audit at BDO for 16 years,
following a period of almost 10 years with PwC in
Jersey and Sydney. He also serves on the boards
of other listed companies, contributing his
expertise in audit, risk and governance.
At the same time, Joanna Dentskevich and
ColinHuelin retired from the Board following
nine years of service. Mrs Dentskevich served as
Senior Independent Director and Risk committee
chair, and Mr Huelin as Audit committee chair.
TheBoard extends its gratitude for their
significant contribution to the Company since its
IPO in 2015.
Market overview and outlook
Elevated interest rates and reduced liquidity
in credit markets have posed challenges for
alternative investments. Despite a reduction
in base rates by some central banks over the
course of 2024, persistent inflationary pressures
and fiscal tightening have constrained market
activity, impacting valuations and investor
sentiment across the sector.
Broader market trends have highlighted the
challenges of stabilising economic growth amidst
inflationary pressures, which has influenced
borrower performance and refinancing options.
Despite these challenges, the Company remains
focused on executing its revised investment
objectives and policy efficiently, with continued
progress in asset repayments and borrower
engagement.
The Board expresses its gratitude to
shareholders for their continued engagement
and support. Regular updates will be provided
as the Company progresses with the Realisation
Plan.
Alex Ohlsson
Chairman
29 April 2025
1. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
Introduction
5
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Strategic report
What’s in
this section
Strategic overview
Find out more on pages 8 and 9
Business model
Find out more on pages 10 and 11
Investment Manager’s report
Find out more on pages 12 to 17
Financial review of the year
Find out more on pages 18 to 21
Sustainability
Find out more on pages 22 and 23
Stakeholders
Find out more on pages 24 to 29
Risk management
Find out more on pages 30 to 37
6
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
7
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Strategic overview
The Company’s investment
objectiveis to undertake a
managedwind‑down and realise all
existing assets in the Company’s
portfolio in an orderly manner.
8
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Investment objective
The Company’s investment objective is to
undertake a managed wind‑down of the Company
and realise all existing assets in the Company’s
portfolio in an orderly manner.
Investment policy
The assets of the Company will be realised in an
orderly manner, returning cash to shareholders
principally by undertaking compulsory
redemptions of ordinary shares in such volumes
and at such times as the Board may, in its
absolute discretion, determine, having regard to
the amount of cash available for distribution and
retaining sufficient working capital for ongoing
operations.
Notwithstanding the foregoing, returns of capital
to shareholders may take any other form as the
Board may, in its absolute discretion, consider
appropriate. The Board will endeavour to realise
all the Company’s investments in a manner that
achieves a balance between maximising the value
received from those investments and making
timely returns to shareholders.
The Company may not make any new investments
save that:
— investments may be made to honour
commitments under existing contractual
arrangements or, with the Board’s prior
written approval, to preserve the value of any
existing investment; and
— cash held by the Company pending
distribution will be held in either cash or
cash equivalents for the purposes of cash
management.
Any amounts received by the Company during the
managed wind‑down of the Company’s assets
will be held by the Company as cash on deposit
and/or as cash equivalents, prior to returns being
made in cash to shareholders (net of provisions
for the Company’s costs and expenses).
Borrowing and derivatives
The Company will not undertake borrowing other
than for short‑term working capital purposes.
Gearing, represented by borrowings, will not
exceed 25% of NAV calculated at the time of
borrowing.
The Company may use derivatives for efficient
portfolio management. In particular, the Company
may engage in interest rate hedging or otherwise
seek to mitigate the risk of interest rate changes
as part of the Company’s efficient portfolio
management.
The Company will not engage in currency trading
or interest rate trading for speculative purposes.
Strategic report
9
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Business model
Undertake a managed wind‑down
To facilitate the cost‑effective
return of capital toshareholders.
Realise all existing assets
To maximise the value received from
the sale or repayment of loans.
Complete in an orderly manner
To facilitate timely capital returns to shareholders.
Investment objectives Implementation
of investmentstrategy
Independent Board
Investment Manager
Third party
serviceproviders
The Investment Manager has been retained to realise all
existingassets and manage the Realisation Plan as agreed with
theBoard in connection with the Orderly Realisation.
Realise all
existingassets
The Company operates a disciplined approach to financial
management. The Company uses hedging where appropriate
tomanage foreign exchange exposure where required.
Financial
management
The Group’s purpose is to undertake a managed wind‑down of the Company and realise all
existing assets in the Company’s portfolio in an orderly manner.
10
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Governance
Read how the Company is governed
and the activities of the Board during
the year in the governance section
onpages 40 to 55.
Environmental
Read about how the Company’s
activities benefit the environment in
the sustainability section on pages
22 and 23.
Social
Read about how the Company’s
activities contribute to society in
thesustainability section on pages
22 and 23.
Financial
Read about the Company’s financial
performance and dividend cover in
the financial review on pages 18 to 21
and its viability on page 36.
The Company is undergoing
an Orderly Realisation
of assets and a return of
capital to shareholders.
210.0m
Shares redeemed in the year
The Group is invested in a
portfolio of 25 asset backed
loans with a weighted
average life of eight years.
£166.5m
Loan repayments received
inthe year
The Company has returned
capital to shareholders
through the redemption of
shares while maintaining the
dividend in the year.
6.3p
1
Dividends paid for the year
Sustainability
considerations
Key performance
indicators
Strong governance
Read more on pages 40 to 55.
Investment Manager
Advisory and
administration
The operations of the Company are delegated to the Investment
Manager who maintains a robust control environment and
undergoes an internal controls review from an external audit
provider on an annual basis.
Operational
management
The Company operates a robust risk management and mitigation
process along with active controls monitoring and stress testing
procedures. The Investment Manager is appointed as AIFM to
theCompany and is responsible for the management of risk
alongside the Board.
Risk
management
1. Total dividends of 6.325 pence per share include a quarterly dividend of 1.58125 pence per share for the quarter to 31 December 2024, which was declared post year end.
Strategic report
11
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Investment Manager’s
report
The Investment Manager has
been appointed under a revised
investment management agreement
to deliver the Company’s revised
investment objective and policy.
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
12
293.4
84.2
147.8
1.8 3.2
33.0
25.5
2024 2025 2026 2027
450
0
200
150
100
50
300
250
350
400
Shareholders distributions (including dividends) (£m)
Original Realisation Plan Actual and updated forecast Original Realisation Plan (cumulative) Actual and updated forecast (cumulative)
210.0
The Investment Manager
Since the Company’s IPO in 2015, Gravis has
provided discretionary investment and risk
management services to the Company. This has
included identifying and structuring investments,
conducting due diligence, monitoring
investments, managing and reporting on the
Company’s investment portfolio, and providing
financial reporting support. The Investment
Manager is the appointed AIFM to the Company.
Following the EGM in May 2024, shareholders
approved a resolution to amend the Company’s
investment policy and objective to implement an
Orderly Realisation of its assets. As part of this
process, shareholders also voted to modify the
Company’s investment management agreement
with the Investment Manager through a side
letter. This side letter sets out the Investment
Manager’s responsibilities in developing and
executing the Realisation Plan, the details of
which were published by the Company in July
2024 and are available on its website. Additionally,
the side letter revised the fee arrangements
to maintain alignment between the Investment
Manager and shareholders.
Information on the fees payable to the
Investment Manager pursuant to the side letter
can be found in note 18.
Investment Manager update
Philip Kent continues as lead manager of the
Company with support from Anthony Curl as the
Investment Manager’s Chief Investment Officer.
Mr Curl has a long and successful track record in
the long income and credit sectors.
Providing additional support is Albane Poulin,
who joined Gravis in February 2024 as Head of
Private Credit. As announced at the time, she
brings a wealth of private credit management
experience, most recently as Head of European
Private Placements at aberdeen. Luther
Ward‑Faint, Investment Director, continues
to lead the Company’s portfolio management
activity. MsPoulin joins Mr Kent and Mr Curl on
a permanent basis with the support of twelve
full‑time professionals. The wider team provides
dedicated and shared credit investment
resources, dedicated portfolio management,
as well as investor relations, finance, legal,
compliance and administrative services.
Active management
As part of the realisation strategy, the
Investment Manager remains focused on close
engagement with the management teams of
borrowers to ensure the successful execution
of the portfolio realisation. Regular dialogue,
combined with information reporting mandated
under loan agreements, allows the Investment
Manager to address potential issues early and
work collaboratively with borrowers to protect
and maximise value.
Realisation Plan update
The Investment Manager published the
Realisation Plan in July 2024, which was approved
by the Board. The chart below shows progress
and updates to the Realisation Plan. Overall,
the Realisation Plan remains materially as it was
previously set out.
Capital distributions to shareholders were lower
than anticipated during the year, predominantly
due to delayed disposals that are now expected
to complete during 2025.
Overall, cumulative capital distributions are
expected to be lower than forecast in the original
Realisation Plan by c.£26 million (or c. 6.1 pence
per share based on the number of shares in
issuance prior to any compulsory redemptions)
due to revised expectations of recoveries.
Therevised forecast IRR¹, calculated on the same
basis as the original Realisation Plan², is c.20%.
Accordingly, under the terms of the revised
Investment Management agreement, a provision
of £688,000 has been made within the financial
statements. Further information is provided on
page 91.
1. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
2. Based on an assumed investment as a share price of 69.80 pence at 26 June 2024.
Realisation Plan
Strategic report
13
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Investment Manager’s report continued
Asset updates
The Board and Investment Manager continue
working to resolve the eight problem loans.
Atthe year end, these loans represented 23% of
the portfolio by value. The Board has decided not
to disclose additional detail on the problem loans
this year so as to not jeopardise commercial
negotiations in relation to the realisation of
these assets. See the table below for further
information. Further information on amounts
received post year end can be found in note 19.
Four of the Group’s 25 loans are for projects
in which certain directors, officers and/or
shareholders of the Investment Manager have an
equity interest.
Problem loans
There were eight loans classed as problem loans
at 31 December 2024, totalling £39.7 million.
Market conditions, covenant breaches, delayed
payments and ongoing tax matters have impacted
the year‑end valuations of the problem loans and,
in the view of both the Investment Manager and
the independent Valuation Agent, may affect the
amount and timing of recovery.
The Investment Manager is actively working to
resolve issues and support the redemption of
facilities, including through disposals where
appropriate.
In addition, following further consideration of
inputs as part of the year‑end reporting process,
the Board adopted a revised valuation of one of
the Group’s loans secured against a property
asset, prior to finalisation of the financial
statements. The updated valuation, which
remained within the original valuation range as
reported by the independent Valuation Agent,
resulted in a £7.2 million reduction in the fair
value of financial assets through profit or loss.
Portfolio contractual repayment profile
At 31 December 2024, the Group was invested
in a portfolio of 25 asset backed loans with a
weighted average maturity of eight years.
The current contracted cash repayment profile
of the portfolio, including the repayment of
historic and future forecast capitalised interest,
and provisions for certain problem loans as
advised by the Investment Manager, is shown
below.
The repayments detailed in the table below
are principal amounts only. For information on
the contracted cash flows including interest
receipts, refer to note 17.8 to the financial
statements. All figures relating to the portfolio
are at 31 December 2024.
Repayments
In respect of the information set out below
(including in relation to the updated Realisation
Plan), there can be no guarantee that loans will
be repaid in accordance with contracted terms
or that loans scheduled for repayment in 2025
will be repaid within the period assumed below.
Borrowers may not repay on time (or at all) and
their ability to service debts may be impaired
from time to time. Borrowers may elect to
repay loans before contractual maturity (infull
or in part) and may exercise permitted loan
extensions. The Group may also extend the term
of a loan at the Board’s discretion to maximise
value forshareholders.
Valuation
There can be no assurance that the current
valuation of the loans to which the Group is
exposed can be achieved. Eight loans made by
the Group, representing 23% of the portfolio by
value, have been categorised by the Investment
Manager as problem loans. The circumstances
around such loans have been considered by the
Board and the independent Valuation Agent.
These circumstances have also been considered
in the valuation of such loans in the bi‑annual
valuation process and associated NAV.
Sector Total loans
Fair value
£m
% of
portfolio
2024 Fair value
movement
£m
Property, Social infrastructure 3 senior,
5 subordinated
39.7 23% (30.0)
Years to maturity
Contractual
repayments due
(£m)
% of total
repayments
(cumulative)
Repayments
of watchlist or
problem loans
(£m)
0 to 1 year 45,955 22.2% 24,348
1 to 2 years 13,081 28.6% 1,326
2 to 4 years 44,584 50.1% 17,151
4 to 10 years 30,466 64.9% 12,640
10 to 20 years 49,207 88.7% 16,106
20+ years 23,412 100.0% —
14
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Key investment highlights
Repayments of £166.5 million were received by the Group during the year. The average IRR¹ achieved on loans that were repaid was 8.1%. Thetable below
sets out all repayments received during the year. All capitalised interest amounts were in respect of amounts capitalised in accordance with contractual
terms.
Post year end, the Group received twelve repayments totalling £9.2 million. There are £nil investment drawdown commitments at the date of the report.
Repayments received during the year
1
Sector Security Status Capitalised interest Repayments
Asset finance Senior Operational — £18.1 million
Energy and
infrastructure
Senior Operational/construction — £0.7 million
Property Senior/subordinated Operational/construction £2.8 million £106.2 million
Social
infrastructure
Senior/subordinated Operational/construction £1.2 million £41.5 million
Total £4.0 million £166.5 million
Repayments received post year end
2
Sector Security Status Capitalised interest Repayments
Asset finance Senior Operational — £0.2 million
Energy and
infrastructure
Senior Operational/construction — £0.2 million
Property Senior/subordinated Operational/construction £0.3 million £8.2 million
Social
infrastructure
Senior Operational £0.1 million £0.6 million
Total £0.4 million £9.2 million
1. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
2. The Company makes its investments through its wholly owned Subsidiary. Refer to note 1 to the financial statements for further information.
Strategic report
15
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Portfolio
The Group’s investments are supported by a
diverse range of assets located predominantly
in the UK. At 31 December 2024, the weighted
average annualised yield
1
was 8.7% across the
portfolio (9.0% excluding the loans held at net
realisable value) with a weighted average term
of eight years (31 December 2023: 8.7% (8.7%
excluding the loans held at net realisable value)
and six years, respectively).
Investment valuation
The independent Valuation Agent carries out a fair
market valuation of all the Group’s investments on
behalf of the Board on a semi‑annual basis based
on information received from the Investment
Manager and other market data.
Any assets which may be subject to discount
rate changes are valued on a quarterly basis. The
valuation principles used by the independent
Valuation Agent are based on a discounted cash
flow methodology or, where it is appropriate to
do so, an estimate of net realisable value.
Where a discounted cash flow approach is
adopted, a fair value for each asset acquired
by the Group is calculated by applying a
discount rate (determined by the independent
Valuation Agent) to the cash flow expected
to arise from each asset, as forecast by the
Investment Manager, determined by contractual
arrangements for each loan.
Further detail on the valuation methodology is
given in note 17 to the financial statements.
In the opinion of the independent Valuation
Agent, the weighted average discount rate
1
across the portfolio at 31 December 2024 was
9.3% (31 December 2023: 10.6%). The valuation of
investments is sensitive to changes in discount
rates applied. Sensitivity analysis detailing the
impact of a change in discount rates is given in
note 17 to the financial statements.
Investment Manager’s report continued
Portfolio summary
2-4 yrs 16%
>4 yrs 57%
1-2 yrs 4%
<1 yr 23%
US 7%
Europe 5%
UK 88%
Portfolio by sector type
Property
33%
E&I
Social
infrastructure
54%
Asset
finance
10%
Contract income 9%
Domestic boilers 1%
O&M contracts 3%
Residential property 27%
Co-living 6%
Care homes 34%
Student accommodation 3%
Social housing 16%
Multi-use community facilities 1%
3%
Subordinated 24%
Senior 76%
Portfolio by
security ranking
2
8-9% 20%
>9% 26%
7-8% 34%
<7% 20%
Portfolio by
interest rate profile
Portfolio by
location
Portfolio by
term profile
1. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
2. The classification of the Company’s senior or subordinated security is determined from the terms of the facility agreement with each borrower. However, in some cases, the
borrower may utilise the Company’s senior ranking loan for the purpose of lending to a third party, and for which, on a look‑through basis, the Company’s reported senior
security is subordinated. In such cases, the independent Valuation Agent fair values the Company’s loan as a subordinated loan.
16
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Property Co 16
1 Property
2 5.5%
3 Residential property
4 Multi asset
Care Homes Co 1
1 Social infrastructure
2 6.6%
3 Care home
4 Single asset
Care Homes Co 3
1 Social infrastructure
2 8.6%
3 Care home
4 Single asset
Football Finance 8
1 Asset finance
2 8.4%
3 Contract income
4 Single
6 5
7 8
4
10
3
9
Care Homes Co 2
1 Social infrastructure
2 9.2%
3 Care home
4 Single asset
Property Co 8
1 Property
2 4.9%
3 Residential property
4 Multi asset
Property Co 2
1 Social infrastructure
2 8.8%
3 Social housing
4 Multi asset
Care Homes Co 5
1 Social infrastructure
2 8.8%
3 Care home
4 Single asset
Key
1 Sector type
2 % of portfolio by value
3 Asset class
4 Multi/single asset exposure
Top ten investments
by value
1 2
Further information on the Group’s portfolio can be found on the Company’s website.
Property Co
1 Social infrastructure
2 7.3%
3 Social housing
4 Multi asset
Bridging Co 1
1 Property
2 5.9%
3 Residential property
4 Multi asset
Investment portfolio
Strategic report
17
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Financial review of the year
The Group has realised loans
of £166.5 million, returned
£188.2million in capital and
paiddividends of 6.3 pence
pershare.
18
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Financial performance
The Company has faced ongoing challenges
throughout the year, largely due to the prevailing
market conditions, as well as asset revaluations
and write‑downs. Increased economic
uncertainty, shaped by global elections,
continued geopolitical tensions, elevated
interest rates and shifting credit markets, have
further contributed to these challenges.
In May 2024, shareholders approved the Board’s
recommendation for an Orderly Realisation of the
Company’s assets. The Company’s investment
objective and policy have therefore been
amended to recognise an Orderly Realisation as
the Company’s main objective. Since this time,
the Board andInvestment Manager have worked
to implement the Realisation Plan and maximise
shareholder value.
Income
In the year to 31 December 2024, the Company’s
portfolio generated interest of £22.8 million
(31 December 2023: £31.7 million), which was
a decrease compared to the prior year, and
reflected the repayment of a large portion of the
loan portfolio over the past twelve months.
Other income of £1.2 million (31December2023:
£1.5 million) was generated, which included
prepayment fees of £0.5 million in respect of
loans prepaid in the year (31 December 2023:
£1.2million).
Total income was offset by unrealised net
valuation losses of £25.9 million, primarily driven
by asset‑level revaluations, write‑downs and
net realised losses of £3.8 million stemming from
the accelerated redemption strategy during
the year. This included defaults by borrowers
facing significant challenges due to ongoing
market conditions, and realisation of underlying
collateral assets at depressed prices.
In addition, following further consideration of
inputs as part of the year‑end reporting process,
the Board adopted a revised valuation of one of
the Group’s loans secured against a property
asset prior to finalisation of the financial
statements. Further information is given on
page14.
The Company invests in derivatives for
investment purposes and efficient portfolio
management. Overall net gains on derivative
financial instruments for the year were
£0.4million (31 December 2023: £0.5million).
Further information is given in notes 3 and 17
tothe financial statements.
Expense
The Company incurred total expenses of £5.7
million (31 December 2023: £5.3 million), which
include the Investment Manager’s fee, other
third party service provider costs and Directors’
remuneration. Total expenses have increased
compared to the prior year, primarily due to the
recognition of a provision for an incentive fee,
details of which can be found on page 91. Aside
from this, comparable expenses decreased
year‑on‑year, reflecting a decrease in variable
fees due to a reduction in NAV. This was offset by
professional costs in respect of various strategic
incentives during the year, including the strategic
review and managed wind‑down. Further
information on expenses is given in notes 4, 6
and18 to the financial statements respectively.
Finance costs have decreased significantly
compared to the prior year due to the Company
repaying the RCF in full. At the year end, £nil
was drawn (31 December 2023: £nil). Further
information on the RCF is given in note 14 to
thefinancial statements.
Total comprehensive losses for the year
were £10.3 million, a decrease from total
comprehensive profits of £18.3million in the
prioryear.
Strategic report
19
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Financial review of the year continued
Dividends
The Company paid 6.3
1
pence per share in interim
dividends. The total dividend was ‑0.49 times
covered by EPS of ‑3.13 pence for the year and
0.77 times covered by an adjusted EPS
2
of 4.90
pence.
It is the Board’s current intention to maintain the
Company’s existing dividend of 6.325 pence per
annum whilst the Company remains substantially
invested, for as long as is practicable
3
. The Board
is considering all options to return capital to
investors by way of dividends, capital returns or
buybacks, as it deems most appropriate from
time to time.
Further information on dividends is given in note
9 to the financial statements.
Earnings
The Company generated EPS of ‑3.13 pence
(31December 2023: 4.27 pence). As noted
previously, adjusted EPS
2
for the year was 4.90
pence per share (31 December 2023: 7.02 pence),
covering the dividend of 6.3
1
pence per share for
the year 0.77 times.
Adjustments to discount rates result in the
revaluation of investments, which are reflected
through fair value movements in the statement of
comprehensive income, in accordance with IFRS
Accounting Standards.
Capital distributions
Capital distributions, through a compulsory
redemption of shares, were made in June 2024
and November 2024.
The initial capital distribution totalled £143.12
million, and on a pro rata basis, 159.6 million
ordinary shares were compulsory redeemed at a
price of 89.66875 pence per share. The second
capital distribution totalled £45.04 million,
and on a pro rata basis, 50.4 million ordinary
shares were compulsory redeemed at a price of
89.33875 pence per share. This has resulted in
67.4% of the shares at 31 December 2023 being
redeemed and £188.2 million being returned to
shareholders. Thisis a significant achievement,
and is broadly in line with the Company’s
Realisation Plan. Whilechallenges such as
alignment with borrower priorities and market
conditions remain, the Board is confident and
remains committed to the continued delivery of
the Realisation Plan.
Prior to the capital distributions, all of the 16.4
million shares held in treasury were cancelled.
Further information is included in note 16.
93.21
6.91
0.66
(8.99)
0.13
(1.73) (0.11)
(6.33)
(1.95)
81.80
NAV per share at
31 December 2024
Share
redemptions
Dividends
Finance costs
Running costs
Net gain on derivative
financial instruments
Losses on
investments
Other income
Loan interest
realised
81
101
96
91
86
(pence)
94.90
7.42
0.35
(1.73)
0.11
(1.24)
(0.64)
(6.33)
0.37
NAV per share at
31 December 2023
Share buybacks
Dividends
Finance costs
Running costs
Net gain on derivative
financial instruments
Losses on
investments
Other income
Loan interest
realised
NAV per share at
31 December 2022
NAV analysis – year ended 31 December 2023 and 31 December 2024
1. Total dividends of 6.325 pence per share include a quarterly dividend of 1.58125 pence per share for the quarter to 31 December 2024, which was declared post year end.
2. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
3. This is a target only and does not constitute a profit forecast.
20
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
NAV and share price
Net assets attributable to equity holders at
31December 2024 were £176.4 million, decreasing
from £396.7 million at 31December2023. The
Company’s NAV per ordinary share decreased
from 93.21 pence at 31 December 2023 to 81.80
pence at 31December 2024.
Market volatility has continued to negatively
impact the Company’s share price this financial
year, with shares trading at an average discount¹
to NAV
1
of 20.1%. At close of business on
25April2025, the Company’s shares are trading
at a 17.6% discount¹ to NAV.
Conflicts of interest
In the year, £1.2 million of planned capitalised
interest was recognised in respect of one of
the Group’s student accommodation loans for
projects in which certain directors, officers and/
or shareholders of the Investment Manager have
an equity interest.
The fair valuation of the loan at 31 December
2024 was £2.4 million, representing 1.4% of the
fair value of the investment portfolio.
Cash position
The Company received interest payments
of £22.8 million and capital repayments of
£166.3 million from its Subsidiary in the year
(31December 2023: £31.7 million and £93.5million
respectively).
The Company paid cash dividends of £21.9 million
during the year and a further £3.4 million post
year end (31December 2023: £27.0 million and
£6.7million respectively). TheCompany advanced
£3.1million (31December 2023: £32.7 million) to
the Subsidiary under contractual arrangements
inaccordance with the investment policy.
Post year end, the Group received repayments
totalling £9.2 million. There were £nil investment
commitments at the date of the report.
Totalcash reserves at the year end were
£4.1million (31 December 2023: £30.9 million).
Capital repayments
from Subsidiary
166.3
(188.2)
(3.1)
(26.8)
Decrease in
cash resources
Share redemptions
Investment in
Subsidiary
200.0
-50.0
150.0
50.0
100.0
0
(£m)
Financing analysis – year ended 31 December 2024
1. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
Strategic report
21
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Sustainability
TheCompany aims to operate a
sustainable business model during
the Orderly Realisation process
that does not detrimentally impact
the environment while benefiting
society.
22
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
The Board and the Investment Manager are
committed to ensuring the Company’s ESG
disclosures, to the extent possible given the
Company’s wind‑down, reflect its impact.
Assuch, the incorporation of the PRIs,
as adopted by the Investment Manager
into investment decisions and investment
management processes, is an important
consideration for theBoard.
TheCompany aims to operate a sustainable
business model during the Orderly Realisation
process that does not detrimentally impact the
environment while benefiting society.
Responsible investment
The Investment Manager does not have an
investment objective of sustainable investment
nor does it use ESG criteria to evaluate
investments or assess their social impact within
its stated investment appetite.
The Investment Manager has over a decade of
experience of investing in assets that have a core
environmental and social benefit and has been a
signatory to the PRIs since 2019. The Investment
Manager is committed to the adoption and
implementation of the PRIs, recognising that
doing so better aligns its investment activities
with the broader interests of society and
benefits the environment. Further information
onthe PRIs can be found on the PRI website:
www.unpri.org.
The Investment Manager is actively managing
the portfolio and engaging with borrowers to
support the execution of the Realisation Plan
and is incentivised to do so under the terms of
the side letter to the investment management
agreement, which was approved by shareholders
at the EGM in May 2024.
Portfolio governance
Governance at the Investment Manager
is well‑defined and remains central to the
Company’s updated investment strategy of
Orderly Realisation. The focus has shifted from
new lending and origination to active portfolio
management, disposals and risk mitigation.
The Investment Manager continues to engage with
the underlying assets’ boards and management
teams to enhance governance where required,
ensuring a structured and disciplined approach to
realisation.
The Investment Manager maintains a clearly
defined governance framework with robust
processes covering business operations,
investment management, portfolio monitoring
and reporting. The designated credit portfolio
team engages with borrowers on an ongoing
basis, alongside the broader investment and
portfolio management teams, who continued
to conduct site visits to assets in the UK and
US during the year. Ongoing monitoring of
financial performance and covenant obligations
remains a priority to ensure compliance and early
identification of potential risks.
Site visits remain an integral part of the
portfolio management process, providing
both technical and commercial insights. They
allow the Investment Manager to assess asset
performance, monitor operator effectiveness
and address key project issues. Additionally,
site visits facilitate a deeper understanding
of operational dynamics and stakeholder
relationships that are critical to the success
and timely realisation of each asset. This year,
site visits covering 26% of the portfolio by value
at 31December 2024 (31 December 2023: 36%)
were conducted.
The Investment Manager continues to prioritise
strong borrower relationships, though the
emphasis has shifted from structuring new
lending solutions to supporting exit strategies
and facilitating redemptions.
By actively engaging with borrowers and
understanding their evolving needs, the Group
ensures a collaborative approach to achieving
the best outcome for all stakeholders while
aligning with the Company’s Orderly Realisation
objectives.
SDR
During the year, the FCA published a policy
statement on SDR and investment labels. This
policy statement sets out the FCA’s final rules
on anti‑greenwashing, a new labelling regime,
naming and marketing rules, product and
entity‑level disclosures, as well as distributor
obligations. The Company is currently in
compliance with the anti‑greenwashing rules
issued under SDR.
ISSB
The ISSB has developed an initiative of globally
consistent sustainability disclosure standards,
which provide a framework for companies to
disclose ESG factors, standardise reporting and
ensure investors make informed decisions about
the environmental attributes of a company.
The new ISSB standards encompass IFRS S1 and
IFRS S2. IFRS S1 provides a set of disclosure
requirements which will enable companies to
communicate the sustainability‑related risks and
opportunities they face over the short, medium
and long term. IFRS S2 requires an entity to
disclose information about climate‑related risks
and opportunities to users of general‑purpose
financial reports who are making decisions about
the provision of resources to the entity.
While the global standards became effective on
1 January 2024, the UK’s endorsement process
for IFRS S1 and IFRS S2 is ongoing. The UK
Government is aiming to make these standards,
which are known as the UK Sustainability
Reporting Standards (“UK SRS”), available in
early 2025. The FCA is aiming to finalise its
policy position by the end of 2025, with a view
to bringing the new requirements into force
for accounting periods beginning on or after
1January 2026, with the first reporting beginning
in 2027.
Strategic report
23
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Stakeholders
The Board understands the
importance of maintaining a high
standard of business conduct and
stakeholder engagement, ensuring
the Company has a positive impact
on the environment in which it
operates.
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
24
Stakeholders
The Company engages with its stakeholders
in different ways. This section outlines the
key stakeholder groups, the importance of
engagement and how the Company and the
Board interact. Stakeholders have been grouped
into five key categories, with an overview of why
and how the Company engages including, where
relevant, key Board decisions which impact
these groups and the ways in which the Board
considers their interests during the year.
All Board discussions involve careful
consideration of the longer‑term consequences
of any decisions and their implications for
stakeholders. The Board values the importance
of maintaining a high standard of business
conduct and stakeholder engagement during the
managed wind‑down process and ensuring the
Group continues to have a positive impact on the
environment in which it operates.
Section 172:
Promoting the success of the Company
The interests of the Company’s employees
The Company has no employees but has close working
relationships with the employees of the Investment
Manager and the Administrator to which it outsources its
main functions.
Refer to
stakeholder
engagement
section on
pages 24 to 29
and governance
section on pages
40 to 57.
The impact of the Company’s operations
on the community and the environment
The Company’s ESG policy and framework is no longer
applicable given the Company’s objective of an Orderly
Realisation.
Refer to
sustainability
section on pages
22 and 23.
The need to foster the Company’s
business relationships with suppliers,
customers and others
The Board has a close working relationship with all its
advisers and regularly engages with all parties.
Refer to
stakeholder
engagement
section on pages
24 to 29.
The desirability of the Company
maintaining a reputation for high
standards of business conduct
Under the leadership of the Chairman, the Board operates
with core values of integrity and impartiality with an aim of
maintaining a reputation for high standards in all areas of
the business it conducts.
Refer to Board
culture and
purpose on
page 42 of
the corporate
governance
statement.
The need to act fairly between
shareholders of the Company
The Board actively engages with shareholders and
considers their interests when setting the Company’s
future strategy.
Refer to
stakeholder
engagement
section on pages
24 to 29.
As a member of the AIC, the Company reports against the AIC Code on a comply or explain basis.
Whilst the Company is not domiciled in the UK, by reporting against the AIC Code, the Company
voluntarily meets any obligations in relation to the UK Code and specifically section 172 of the
Companies Act 2006.
The Board of Directors consider, both individually and together, that they have acted in a way they
consider, in good faith, is most likely to promote the success of the Company for the benefit of its
members as a whole (having regard to the stakeholders and matters set out in section 172 of the
Companies Act 2006) in the decisions taken during the year as set out below.
Strategic report
25
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Stakeholders continued
Equity
Total returns
Services
Payment
Loans Interest and
principal
Society
The Company has historically positively impacted society through its investing activities, providing funding
for assets whichareintegral to society.
Shareholders
All investors in the
Company, be they
institutional, such as
pension funds or wealth
managers, or retail, such as
private individuals.
Suppliers
Suppliers across the UK
andJersey who provide
services to the Company.
Government and
regulators
Governmental organisations
providing public services for
society, or financial services
regulators.
Stakeholder model
Taxes/
compliance
Public
services/
laws/
regulation
The stakeholder model below demonstrates how the Company
interacts with all of its stakeholders.
Borrowers
Owners of the Project
Companies to which the
Group advances loans.
26
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Shareholders
All investors in the Company,
be they institutional, such
as pension funds or wealth
managers, or retail, such as
private individuals.
How the Company engages
The Company, primarily through its Investment
Manager and Broker, engages in ongoing
communication with its shareholders via market
interactions, webinars and shareholder, analyst and
marketing presentations.
Shareholder engagement is reported to the Board
on a quarterly basis. Feedback obtained through this
engagement is taken into consideration when making
Board decisions which may impact shareholders.
The Board encourages shareholders to attend and
vote at the Company’s annual general meetings
so they may discuss governance and strategy and
understand shareholders’ issues and concerns.
The Board and the Investment Manager are keen to
engage with shareholders to address any questions
or concerns they may have.
The Investment Manager has engaged with
shareholders throughout the year on the Orderly
Realisation process by holding meetings, hosting
webinars and portfolio updates, including holding
separate webinars to discuss the wind‑down and
other general matters.
The Board has engaged extensively with shareholders
during the year to seek feedback on strategic
initiatives and opportunities, as well as the overall
future of the Company.
Why engage
Through the provision of capital, shareholders enable the Company to pursue its investment objective.
In return, the Company has historically generated earnings for shareholders and has grown the capital value of
the portfolio overthe long term.
Key Board decision: Orderly Realisation
Decision:
During the year, the key Board decisions
centred around the strategic review undertaken
by the Board to consider how it may best deliver
value to shareholders. The Board engaged
extensively with shareholders in seeking
feedback to inform its decision‑making process
and, as part of this, specifically sought their
views in respect of (i) the continuation of the
Company paired with a partial capital return,
(ii) the Orderly Realisation, and (iii) a potential
sale of the entire issued share capital of the
Company and/or its assets.
Based on shareholder feedback received and
consideration of the prevailing and persistent
discount¹ to NAV at which the Company’s shares
had traded over the course of 18 months, the
liquidity of trading in its shares, and the limited
prospects for achieving greater scale in the
foreseeable future, the Board concluded that
shareholder value would be best served by the
Orderly Realisation and return of capital to
shareholders.
Accordingly, the Board announced that
shareholders would be given the opportunity to
vote on the discontinuation of the Company at
the 2024 AGM and the Board would convene an
EGM to be held immediately after the AGM to
seek approvals from shareholders to
(i) amend the Company’s investment objective
and policy to contemplate the Orderly
Realisation, (ii) adopt new articles of association
to facilitate compulsory redemptions, and (iii)
approve a side letter to the existing investment
management agreement to align the interests
of the Investment Manager with the Company
and its shareholders in pursuing the Orderly
Realisation, including the introduction of an
incentive fee.
Process:
The AGM and EGM were held on 20 May 2024
and all resolutions were duly passed by the
shareholders.
The Orderly Realisation will not result in a
liquidation of the Company in the immediate
future and the Board is implementing the
Orderly Realisation in a manner that maximises
value for shareholders.
Outcomes:
Realisation Plan
Following the results of the AGM and EGM, the
Board‑approved Realisation Plan was published
in July 2024 and can be found on the Company’s
website. Further information on the progress of
the Orderly Realisation can be found on page 13
of the Investment Manager’s report.
Returns of capital
Capital distributions, through a compulsory
redemption of shares, were made in June 2024
and November 2024.
The initial capital distribution totalled
£143.12million, and on a pro rata basis, 159.6
million ordinary shares were compulsory
redeemed at a price of 89.66875 pence per
share. Thesecond capital distribution totalled
£45.05 million, and on a pro rata basis, 50.4
million ordinary shares were compulsory
redeemed at a price of 89.33875 pence per
share. This has resulted in just under 50% of the
shares being redeemed and £188.2 million being
returned to shareholders.
Prior to the capital distributions, all of the 16.4
million shares held in treasury were cancelled.
Repay the RCF
During the year, the commitment to the RCF
was reduced from £50.0 million to £1.0 million
to minimise ongoing commitment fees. The
Company agreed with RBSI, the lender, to not
re‑draw on the RCF for new investments and
only use the RCF for forward foreign exchange
contracts through to its maturity. The RCF
matured on 22 August 2024 and was not
renewed. The Company arranged alternative
means to retain the forward foreign exchange
positions.
Strategic report
27
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Stakeholders continued
Suppliers
Suppliers across the UK and
Jersey who provide services to
the Company.
How the Company engages
The Board has a close working relationship with all
its advisers and regularly engages with all parties.
The Management Engagement committee regularly
monitors the performance and reviews the terms
of each service contract annually. To ensure
suppliers meet the Company’s high level of conduct,
all suppliers are required to confirm on an annual
basis, in the form of a questionnaire, that they
have adequate policies and procedures in place for
ensuring business continuity planning, cyber security
and prevention of corruption and bribery.
The questionnaire covers policies and procedures
in relation to ESG, compliance with the General
Data Protection Regulation and MAR, as well as a
requirement by service providers to rate their own
service and the conduct of other service providers.
This informs decision making at Board level in
regard to the continuing appointment of service
providers. InDecember 2024, the annual Management
Engagement committee meeting was held, with
the committee reviewing the performance,
and considering the continued appointment of
the Company’s service providers in the Orderly
Realisation process. Refer to page 13 forfurther
information.
In addition, the Board typically attends the offices
of the Investment Manager at least once a year to
perform an oversight review and consider matters
such as strategy, portfolio performance and
principalrisks.
Why engage
The Company’s suppliers include third party service providers engaged to provide corporate or administration
services, in addition to the investment management services provided by the Investment Manager. These
services are critical to the ongoing operational performance of the Group.
Borrowers
Owners of the Project
Companies to which the Group
advances loans.
How the Company engages
The Investment Manager’s designated portfolio
monitoring team engages with borrowers on an
ongoing basis. Engagement takes the form of regular
interaction with borrowers. Visits to projects in the
UK and US were undertaken by the investment and
portfolio management teams and the Directors in the
year, covering 26% of the portfolio by value.
The Investment Manager reports to the Board on the
portfolio performance on a quarterly basis and, in the
interim, on individual assets as necessary.
The Investment Manager continues to carry out
regular monitoring of information and financial
covenant obligations to ensure compliance with
financial covenants to ensure the early identification
of potential issues.
The Board engages with the Investment Manager
with regard to ‘conflicted investments’, where the
Investment Manager or any shareholders, directors or
employees of the Investment Manager are directly or
indirectly interested in any entity or asset in relation
to the investment.
Why engage
By engaging with borrowers and understanding their situation, the Group is able to work with them to achieve
maximum recoveries which reflect the contractual fundamentals and inherent risks of the underlying assets and
cash flows. Borrower contact enables direct feedback and informs strategic decision making at Board level.
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Annual report and financial statements 2024
Government and
regulators
Governmental organisations
providing public services for
society, or financial services
regulators.
How the Company engages
The Board encourages openness and transparency
and promotes proactive compliance with new
regulation. The Company engages with local
government and regulatory bodies at regular intervals
and participates in focus groups and research
projects where relevant; however, the Board does not
expect to participate further in research projects or
focus groups during the Orderly Realisation process.
The Company, through its Investment Manager and
Administrator, files UK AIFM Regime and Jersey
regulatory statistics on a quarterly basis and assists
the JFSC in collecting data to conduct a national
risk assessment of money laundering and terrorist
financing threats to Jersey.
Government and regulatory policy inform strategic
decision making at Board level with consideration
given to the impact the Company has on the sector
and vice versa.
How the Company engages
Indirectly, the Company engages with society
through its social infrastructure investing, providing
funding for housing for vulnerable adults, student
accommodation, care for the elderly, nurseries and
urban regeneration.
The Company reports on the benefits to society
through its normal methods of shareholder
engagement.
The Company has published an ESG policy and
framework which the Board has concluded is no
longer relevant for the Company in the Orderly
Realisation process.
Why engage
Good governance and compliance with applicable regulations is vital in ensuring the continued success of the
Company and the regimes within which it operates.
Why engage
Through responsible investing, the Company can ensure the long‑term success of not only its operations, but
also of the environment in which it operates.
Society
The Company has historically
positively impacted society
through its investment activities,
which provide funding for assets
which are integral to society.
Strategic report
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Risk management
The Board and the Investment
Manager recognise that risk is
an inherent aspect of the Group’s
operation and are committed
to effective risk management
to protect and maximise
shareholdervalue.
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Annual report and financial statements 2024
Risk management strategy and risk appetite
The Board has the ultimate responsibility for
risk management and internal controls within
the Company. The Board and the Investment
Manager recognise that risk is an inherent aspect
of the Group’s operation and are committed
to effective risk management to protect and
maximise shareholder value. When setting the
Company’s risk management strategy, the Board
considers the nature of the risks the Company is
willing to take and the appetite it has for those
risks in order to achieve the Company’s strategic
objective.
Risk management process
At least twice a year, the Board, with the
assistance of the Audit and Risk committee¹,
undertake a robust assessment of the principal
and emerging risks facing the Company, including
those that might threaten its business model,
future performance, solvency and liquidity.
This assessment is supported by the Audit and
Risk committee’s
1
review of the effectiveness
of the Company’s risk management process and
internal control systems. This covers strategic,
investment, financial, operational and financial
crime risks facing the Company, as well as any
emerging risks. Refer to the Audit and Risk
committee report on pages 49 to 51 for further
information.
In relation to the AIC Code, the Board is
confident that the procedures the Company
has in place are sufficient to ensure that the
necessary monitoring of risks and controls was
carried out throughout the year under review.
Role of the AIFM
The Investment Manager has been appointed
as AIFM to the Company since September 2015.
The AIFM is required to operate an effective and
suitable risk management framework to allow the
identification, monitoring and management of
the risks to which the AIFM and the AIFs under its
management are exposed.
The AIFM’s permanent risk management function
has a primary role alongside the Board in shaping
the risk policy of the Company. In addition,
it is responsible for risk monitoring and risk
measuring to ensure that the level of risk remains
within the Company’s risk profile and tolerance.
In considering the principal risks and
uncertainties and emerging risks that the
Company faces, the Board has considered the
impact of events post year end relating to the
Company’s Orderly Realisation objective.
Risk management framework
Board
Audit and Risk committee
1
Oversight of serviceproviders
Investment Manager and Administrator
Risk assessment andreporting
Forecasting and financialinformation
Other third party advisers
Strategy
Risk identification
Risk assessment
Risk appetite
Controls
Documentation
Mitigation
Risk limits
Controls testing
Stress testing/sensitivity
Audit
Monitoring
Contractual
arrangements
1. The Audit committee and the Risk committee were combined as an Audit and Risk committee effective at the Board meeting held on 20 May 2024.
Management Engagement committee
Strategic report
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Risk management continued
Principal risks and uncertainties
Principal uncertainties
The Board considers the principal uncertainties faced by the Company during the year to be as detailed below. The Board has determined that an additional
uncertainty now exists.
Uncertainty 1: Realisation Plan execution
There can be no guarantee that loans will be repaid in accordance with contracted terms and/or in line with the Realisation Plan. Borrowers may not repay on time
(or at all) and their ability to service debt may be impaired from time to time. Additionally, there can be no assurance that the current valuation of the loans by the
independent Valuation Agent, to which the Company is exposed, can be achieved. The Investment Manager is actively managing the portfolio and working with
borrowers to achieve the Realisation Plan and is incentivised to do so under the terms of the side letter to the investment management agreement which was
approved by shareholders at the EGM on 20 May 2024.
The Company has made significant progress on the Orderly Realisation with repayments of £166.5 million received by the Group and capital of £188.2 million
returned to shareholders through compulsory redemptions of 210.0 million shares. Further information is included in the Chairman’s statement on pages 4 and 5.
Uncertainty 2: Geopolitical uncertainty
The Board considers the extensive macro‑economic effects from geopolitical uncertainty for the Company. This includes the war in Ukraine and more recently,
global economic uncertainty over international trade due to tariffs introduced by the US Government. These events continue to cloud the outlook for the global
economy and exacerbate disruptions in supply chains, energy prices and market volatility, and have created concerns about economic growth and investor
unease. The Group is predominantly invested in the UK and has no investments in Ukraine, Russia or Belarus. As such, no borrowers have been subject to any
sanctions imposed due to the wars, and US tariffs have had no direct impact to date on the Group’s investments.
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Annual report and financial statements 2024
Principal risks
The Board considers the principal risks faced by the Company during the year, together with the potential effects, controls and mitigating factors, to be as
detailed below. The Board has determined there now exists two new principal risks.
Category 1: Credit risk
Risk Impact How the risk is managed Change in residual riskover the year
Borrower default, loan
non‑performance and
collateral risks
Borrowers to whom the Group
hasprovided loans default or
become insolvent.
The success of the Group is dependent
upon borrowers fulfilling their payment
obligations when they fall due. Failure
of the Group to receive payments or
to recover part or all amounts owed
together with potential additional
costs incurred from the renegotiation
and/or restructuring of loans can
result in substantial irrecoverable
costs being incurred. This could have a
material adverse effect on the NAV of
the Company and its ability to meet its
stated target returns and dividends.
The Investment Manager continuously
monitors the performance of the
underlying assets and has a process
for watchlist and problem loans in
place, taking appropriate action where
required. In addition to quarterly
reporting to the Board, all amendments
or extensions to existing facilities are
considered on a case‑by‑case basis
and require prior Board consent.
Stable
Persistently high interest rates and tighter
credit conditions are negatively affecting
borrowers’ ability to refinance or repay loans.
At 31 December 2024, there were eight loans
categorised as problem loans, together
representing 23% of the portfolio by value.
Further information can be found on page 14
and the assessment of credit risk is disclosed in
note 17.6.
Repayment risk (other than
borrower default)
Borrowers to whom the Group has
provided loans are unable to meet
contractual repayments other
than occasioned by default or
insolvency.
Due to the nature of the loans
provided, it is not uncommon, in
the normal course of business,
for extensions to be requested by
borrowers which, if not facilitated,
would mean there is no guarantee
thatthe contractual repayment
profilemay be met.
The Investment Manager continuously
monitors the performance of the
underlying assets and has in place a
process for watchlist and problem
loans, taking appropriate action where
required. In addition to quarterly
reporting to the Board, all amendments
or extensions to existing facilities are
considered on a case‑by‑case basis
and require prior Board consent.
Stable
As a result of the current high interest rate
environment and the restriction on extensions
and amendments to existing facilities, those
borrowers who, in normal conditions, would
seek an extension or amendment, are now
seeking alternative refinancing in a challenging
market that does not support asset sales in a
timely manner. Further information can be found
in note 17.6.
Strategic report
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Risk management continued
Principal risks and uncertainties continued
Category 2: Economic risk
Risk Impact How the risk is managed Change in residual riskover the year
Property
Loans made by the Group to
projects involved in property or
the development of property
are indirectly exposed to the
performance of the underlying real
estate market in the relevant area.
If the market value of any property
investments to which the Group
has provided finance is found to be
materially lower than assumed or
projected, this may adversely impact
the Group’s ability to recover the value
of its investments in the event of a
borrower default or sale process.
Property valuations are required during
the due diligence process, as well as
throughout the life of the asset, as
there is often diversification through
multiple assets at a project level. Refer
to the Investment Manager’s report on
page 16 for further information.
Stable
Despite ongoing market fluctuations, UK house
prices were 4.7% higher in December 2024 than
a year earlier, the fastest annual pace since
October 2022.
Macro‑economic
Due to the nature and duration
of the Company’s investments,
the prolonged current
macro‑economic environment
may prevent the Company from
achieving the risk return profile
required by investors and/or its
investment objective.
Continued high inflation, increases in
energy prices and increases in interest
rates could have a material adverse
effect on (i) the underlying Project
Companies, e.g. by reducing the value
of underlying assets or stressing
cash flow where revenue does not
keep pace with rising costs, and (ii)
the ability of the Company to meet its
investment objective.
The portfolio is diversified across nine
asset classes and multiple geographies
with partial inflation and/or interest
rate protection through a number of
different mechanisms on 73% of the
portfolio by value. In addition, the
weighted average loan life of eight
years has historically allowed for
capital rotation over a relatively short
period.
Stable
Global events continue to cloud the outlook
for the economy and exacerbate disruptions
in supply chains, energy prices and market
volatility, and have created concerns about
economic growth and investor unease. Interest
rate hedging, inflation‑protected mechanisms
and asset diversification have helped maintain
stability for the Group.
Valuation risk
Due to the nature of the
investments made by the Group,
observable market data or
comparable prices may not exist
for some of the assumptions used
in their valuation.
Uncertainty about valuation
assumptions and estimates could result
in outcomes that require a material
adjustment to the carrying amount of
the assets in the portfolio in the future.
Discount rates applied to expected
future cash flows are determined
by the independent Valuation Agent
who is engaged to provide at least
semi‑annual asset valuations which
are reviewed and challenged by the
Investment Manager and the Board.
In addition, the Investment Manager,
as part of its due diligence process,
uses market‑recognised professionals
to provide initial valuations where
possible.
Stable
The impact of the changing macro‑economic
environment continues to present challenges
to the judgements, assumptions and estimates
in modelling future cash flows. In addition, the
Orderly Realisation process may result in asset
values not being realised in full. For further
information, refer to pages 13 to 17.
Market sentiment
Risks associated with changes in
investor or buyer sentiment, which
could result in reduced demand
for assets or downward pressure
on pricing.
In an Orderly Realisation, market
sentiment shaped by macro‑economic
uncertainty, interest rate movements
or geopolitical events can have an
impact on buyer appetite and asset
valuations.
The Investment Manager, appointed
pursuant to a side letter to the
investment management agreement,
is responsible for implementing
the Realisation Plan, as agreed
and periodically updated with the
Board. The Investment Manager has
significant experience in the execution
of transactions and is incentivised
to achieve the best outcomes for
shareholders.
New
Significant progress has been achieved, with
repayments of £166.5 million received by the
Group and 210.0 million shares redeemed since
the discontinuation vote.
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Annual report and financial statements 2024
Category 3: Key resource risk
Risk Impact How the risk is managed Change in residual riskover the year
Reliance on key personnel at
the Investment Manager
The Company is dependent on
key people within the Investment
Manager to meet its investment
objective.
An inability by the Investment Manager
to retain and recruit the required level
of personnel with the appropriate skills
and experience may adversely impact
its ability to service the needs of the
Company.
The Company has entered into a
contractual engagement with the
Investment Manager. The performance
of the Investment Manager is
monitored by the Board along with the
Company’s other key service providers
on an ongoing basis. The Investment
Manager provides regular updates to
the Board on its resourcing plans and
has a competitive remuneration plan
focused on key employees.
Stable
The Investment Manager has made significant
progress with the Realisation Plan despite
additional resource requirements in regard
to collateral enforcement, property sales and
borrower negotiations, with £166.5 million
of repayments received by the Group during
theyear.
Category 4: Regulatory risk
Risk Impact How the risk is managed Change in residual riskover the year
Change in laws, regulation
and/or policy
The Company, its operations and
the underlying Project Companies
are subject to laws and regulations
enacted by national and local
governments.
Any change in the laws, regulations
and/or Government policy affecting
the Company or the underlying Project
Companies may have a material adverse
effect on the ability of the Company
to successfully pursue the investment
policy and meet its investment
objective, which may impact the value
of the Company.
The Company has a comprehensive
compliance monitoring programme
relevant to its operations that ensures
compliance with developments and
changes in legislation and regulation
in the Channel Islands and the UK,
including monitoring the impact of
Brexit in jurisdictions in which the
Group invests. The programme also
monitors compliance with listing and
FCA marketing rules.
Stable
There have been no significant changes to, or
new laws, regulations or policy at the Company
level.
Strategic report
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Risk management continued
Principal risks and uncertainties continued
Category 5: Execution risk
Risk Impact How the risk is managed Change in residual riskover the year
Reinvestment risk and
availability of suitable
investments
Risks related to the timely
enforcement of collateral, disposal
of assets, and requiring borrowers
to refinance loans or sell
properties in tight credit markets
or with depressed valuations.
The strategic decision to deny
extensions and require borrowers to
raise new finance heightens reliance
on their ability to refinance under
challenging market conditions. Tight
credit availability and depressed
property valuations exacerbate the
risk of refinancing delays or shortfalls.
Similarly, asset disposals may face price
reductions, longer timelines or limited
buyer demand in the current market.
These factors, combined with the
need to manage multiple realisations
simultaneously, increase the likelihood
of suboptimal recoveries or delays.
The Investment Manager is actively
managing the portfolio and working
with borrowers to achieve the
Realisation Plan and has been
incentivised to do so under the terms
of the side letter to the investment
management agreement which was
approved by shareholders at the EGM
on 20 May 2024.
New
Significant progress has been achieved, with
repayments of £166.5 million received by the
Group and 210.0 million shares redeemed since
the discontinuation vote.
Category 6: Conflicts of interest
Risk Impact How the risk is managed Change in residual riskover the year
Investment Manager
arrangements
The Investment Manager may
not be incentivised to achieve
the objective of maximising
shareholder returns in a
timelymanner.
The Investment Manager has full
discretion to act on behalf of the
Company in relation to the execution
of the Realisation Plan and is entitled
to receive fees based on the prevailing
NAV and the cost of each investment.
The Investment Manager and its
affiliates may serve as investment
manager to other structures with
similar investment objectives.
Personnel at the Investment Manager
may also have an interest in an entity
or asset that the Group invests in. In
addition, personnel at the Investment
Manager and associated parties of the
Investment Manager are shareholders
of the Company.
The Investment Manager and the
Company have policies and procedures
in place to address potential conflicts
including prior approval and consent
from the Board and any conflicts that
may arise from previous or current
appointments.
Stable
The Investment Manager has been appointed
under a side letter to the investment
management agreement to manage the
Realisation Plan as agreed and updated with
theBoard from time to time.
Under the terms of the side letter the
investment manager is entitled to an incentive
fee. Refer to page 91 for further information.
Strong progress has been made with the plan,
with repayments of £166.5 million received by
the Group and 210.0 million shares redeemed
since the discontinuation vote.
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Emerging risks
Emerging risks include trends which are
characterised by a high degree of uncertainty
in terms of their occurrence, probability and
potential impact. As part of the Company’s risk
management processes, emerging risks are
considered during the formal reviews of the
Company’s risks, described on page 36. The
Board has concluded there are no emerging
risks.
ESG risks
The Board considers ESG risks, including those
relating to climate change, to be a transverse
risk, managed within the existing risk categories
identified in the Company’s risk register.
The Investment Manager carries out a climate
risk assessment for each underlying portfolio
asset to assess the actual and potential impacts
of climate‑related risks and opportunities across
the portfolio. Based on the climate risk analysis
undertaken, the Investment Manager does
not currently propose to make any changes to
financial forecasts due to climate risk.
Going concern
Assessment
The Directors have assessed the Company’s
ability to continue as a going concern, having
considered the liquidity of the Group’s
investment portfolio and the Company’s financial
position in respect of its level of cash as well as
its forecasted future cash flows.
After making enquiries of the Investment
Manager on the maturity profile of the
investment portfolio and the forecast cash
flows, and having reassessed the principal risks
in light of the recent changes to the Company’s
investment objective and strategy, the Directors
are satisfied that the Company has adequate
resources to continue in operational existence
for a period of at least twelve months from the
date on which the annual report is approved.
Based on the above assessment, the Directors
have concluded that the financial statements
of the Company should continue to be prepared
on a going concern basis and the financial
statements have been prepared accordingly.
Viability assessment
The Board regularly reviews risks that might
threaten its strategy. The Board also assesses
the Company’s policies and procedures for
monitoring, managing and mitigating its exposure
to these risks. The Directors have carried out
a robust assessment of each of the Company’s
risks, including principal risks that threaten its
business model, future performance, solvency
or liquidity, uncertainty, as detailed on pages 30
to 36 and, through stress testing, as described
below. The Board has also assessed the
prospects of the Company over a longer period
than the twelve months required by the going
concern provision.
Stress testing
The Investment Manager has prepared cash flow
forecasts which were challenged and approved
by the Directors. Following the decision by
shareholders to enter an Orderly Realisation,
twoscenarios have been modelled:
— Contractual Orderly Realisation: an Orderly
Realisation of the portfolio aligned with
contractual maturities; and
— Realisation Plan 2027: an Orderly Realisation
aligned with the Investment Manager’s and
Board’s strategy for completion.
In order to analyse the effect of the principal
risks and uncertainties on the Company’s net
cash flows, key financial ratios, viability and
dividend cover, the Investment Manager has
stress tested the Company’s financial model
by flexing a number of key assumptions used
to model the impact of plausible scenarios,
including:
— significant reduction of 38% of interest
income received, based on the Investment
Manager’s analysis of downside probabilities
of default and recovery rate assumptions;
— borrower default probabilities by sector and
recovery rates of 65% for senior loans and
34% for subordinated loans;
— increases in the Company’s operating
expenses of 25%;
— a combined scenario with a combination of
thefactors described above; and
— impact on the portfolio of downside stress
tests on a sector‑by‑sector basis.
The Investment Manager believes that the above
scenarios represent a robust sensitivity analysis.
The Company is reliant on the performance of
interest and principal repayment obligations
to meet its overheads and pay discretionary
dividends. The Orderly Realisation will not
result in the liquidation of the Company in the
immediate future and the Board will seek to
implement the Orderly Realisation in amanner
that maximises value for shareholders.
Time period
The Board has determined that a five year period
is an appropriate period over which to provide its
viability statement. The weighted average term of
the loans in the investment portfolio is eight years
and in the view of the Board and the Investment
Manager, this extended timeframe (over and
above the Realisation Plan) allows for a prudent
evaluation of potential capital events, evolving
market dynamics and shareholder actions, all of
which are inherently difficult to predict.
Conclusion
Based on the viability assessment and stress
testing performed on the Company’s prospects,
the Directors confirm they expect the Company
will be able to continue in operation and meet its
liabilities as they fall due over the five year period
from their assessment to 31 December 2029.
Approval of strategic report
The strategic report has been approved by the
Board and is signed on its behalf by the Chairman.
Alex Ohlsson
Chairman
29 April 2025
Strategic report
37
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
What’s in
this section
Governance
Board of Directors
Page 40
The Investment Manager
Page 41
Board leadership and purpose
Page 42
Division of responsibilities
Pages 43 to 45
Composition, succession andevaluation
Pages 46 to 48
Audit, risk and internal control
See the Audit and Risk committee report on pages 49 to 51,
risk management disclosures on pages 30 to 36 and the
financial statements on pages 58 to 92
Remuneration
See the Directors’ remuneration report and policy on pages 52 and 53
Directors’ report
Pages 54 and 55
38
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
39
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Board of Directors
Alex Ohlsson
Chairman
Alex Ohlsson, a Jersey resident, is the group
chairman of the law firm Carey Olsen (previously
managing partner), and is recognised as an
expert in corporate and finance law in Jersey
with a particular focus on international real
estate finance and structures. Mr Ohlsson joined
Carey Olsen in 1991, became a Jersey solicitor
in 1994 and an Advocate of the Royal Court of
Jersey and a partner of Carey Olsen in 1995. He
was educated at Queens’ College, Cambridge,
where he obtained an MA (Hons) in Law. Mr
Ohlsson served as the independent chairman
of the States of Jersey’s audit committee from
2009 until 2018. Heis an advisory board member
of Jersey Finance, Jersey’s financial services
promotional body. Heacts as a non‑executive
Director of a number of companies. He is also
chairman of the LSE Main Market listed company
Foresight Solar FundLimited.
Skills and experience:
Substantial board level and legal experience in
the corporate and finance sectors in Jersey.
Date of appointment:
14 September 2015
Marykay Fuller
Senior Independent Director and chair of the
Management Engagement committee and the
Remuneration and Nomination committee
Marykay Fuller, a UK resident, is a banking and
finance professional with 30 years’ experience
in debt and equity markets, working with a
broad range of businesses across a variety of
jurisdictions including the UK, US, Europe, South
America and Asia. Most recently, she was a senior
deal advisory partner at KPMG LLP where she
also represented the firm on the board of the
trade group, British American Business. Ms Fuller
is currently the chair of the property company,
Midsummer Place Ltd, as well as a board member
and audit chair of MSX International.
Skills and experience:
Substantial business and debt experience across
a variety of jurisdictions.
Date of appointment:
6 November 2019
Philip Braun
Chair of the Audit and Risk committee
Mr Braun, a Jersey resident, has nearly 30 years’
experience in audit, primarily with a focus on
financial services, alternative investment funds
and the regulated offshore industry working
with PwC for almost ten years in Jersey and
Sydney. He then spent the last 16 years as the
lead audit partner for BDO in Jersey, prior to
his move to provide independent directorship
services. In addition to his role as the head
of audit locally, he also led the provision of
business advisory services, including corporate
due diligence, restructuring and liquidations.
Mr Braun has a BSc (Hons) in Mathematics and
Computer Science and is a Fellow of the Institute
of Chartered Accountants of England & Wales.
Mr Braun also serves on the board of directors
of CVC Income & Growth Limited (chair of the
audit committee) and Digital 9 Infrastructure plc
(chair of audit and valuation committee), both
companies are listed on the LSE. Mr Braun is also
a member of the board of the International Stock
Exchange Authority Limited, the Guernsey‑based
regulator of the international stock exchange,
and sits on both its risk and audit committees.
Skills and experience:
Chartered Accountant with extensive audit and
accounting experience.
Date of appointment:
20 May 2024
The Directors are responsible for the effective
stewardship of the Company’s activities in order to ensure
its continued success is in the interest of stakeholders.
40
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
The Investment Manager
Portfolio administration
Luther Ward‑Faint
Investment Director
Finn Donahoe
Portfolio Manager
Tristan Jackson
Portfolio Manager
Kate Arnold
Portfolio Manager
Justyna Kolarovic
Portfolio Administrator
Jessica Parry‑Jones
Office Manager &
Finance Assistant
Financial and corporate advisory
Chloe Marlow
Director ofFund
Finance and Operations
Sarah Bowe
Head of Compliance
and Risk
Limara Malouangout
Compliance & Risk
Officer
William Parry‑Jones
Fund Financial
Controller
Mary Tiernan
Investor Reporting
Associate
Investment team
Philip Kent
Chief Executive Officer
Philip Kent is a Director of the Investment Manager
and acts as lead fund manager for the Company.
Anthony Curl
Chief Investment Officer
Anthony Curl is Chief Investment Officer at the
Investment Manager.
Albane Poulin
Head of Private Credit
Albane Poulin is Head of Private Credit at the
Investment Manager.
The Board of Directors has appointed the Investment
Manager to provide day‑to‑day investment management
services to the Group.
For full Investment Manager
biographies visit
www.graviscapital.com/
our‑people
Governance
41
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Alex Ohlsson
Chairman
Introduction from the Chairman
In this corporate governance statement, the
Company reports on its compliance with the AIC
Code, sets out how the Board and its committees
have operated during the year and describes how
the Board exercises effective stewardship over
the Company’s activities for the benefit of its
members as a whole.
The Board recognises the importance of a
strong corporate governance culture and
has established a framework for corporate
governance which it considers to be
appropriate for the Company’s business. All
Directors contribute to Board discussions
and debates. TheBoard believes in providing
as much transparency for shareholders as is
reasonablypossible.
The AIC Code
As a member of the AIC, the Company reports
against the principles and provisions of the
AICCode.
The Board has considered the principles and
provisions of the AIC Code. The AIC Code
addresses the principles and provisions set out
in the UK Code, as well as setting out additional
provisions on issues that are of specific
relevance to the Company.
I am pleased to present the Company’s corporate governance
statement for the year ended 31 December 2024.
Board leadership and purpose
Corporate governance statement
The AIC Code can be found on the AIC website at
www.theaic.co.uk.
The AIC Code includes an explanation of how
it adapts the principles and provisions set
out in the UK Code to make them relevant for
investment companies. The UK Code can be
found on the FRC website at www.frc.org.uk.
The Board considers that reporting against the
principles and provisions of the AIC Code, which
has been endorsed by the FRC and supported
by the JFSC, provides better and more relevant
information to shareholders.
Statement of compliance with the AIC Code
The Board has made the appropriate disclosures
in this report to ensure that the Company
meets its continuing obligations. It should be
noted that, as an investment company, most of
the Company’s day‑to‑day responsibilities are
delegated to third party service providers. The
Company has no employees and the Directors
are all non‑executive, therefore not all of the
provisions of the UK Code are directly applicable
to the Company. The Board considers that the
Company has complied with the principles and
provisions of the AIC Code, except in relation to
the tenure of the Chairman, Alex Ohlsson. Refer
to the Remuneration and Nomination committee
report on page 46 for further information.
The Board
At 31 December 2024, the Board comprised three
Directors, all of whom are non‑executive and are
considered independent. Biographical details of
the Directors are shown on page 40.
Under the leadership of the Chairman, the Board
is responsible for the long‑term success of the
Company. It provides overall leadership, sets
the strategic aims of the Company and ensures
that the necessary resources are in place for
the Company to meet its objectives and fulfil its
obligations to shareholders within a framework
of high standards of corporate governance and
effective internal controls.
The Board has overall responsibility for the
Company’s investment policy, investment
strategy and activities, including the review of
investment activity and performance and internal
controls of the Investment Manager.
Matters reserved for the Board
The Board has approved a formal schedule
of matters reserved for its approval which is
available on the Company’s website and upon
request from the Company Secretary.
Culture and purpose
The Chairman, Alex Ohlsson, leads the Board
and is responsible for its overall effectiveness
in directing the Company. He demonstrates
objective judgement, promotes a culture
of openness and debate and facilitates
constructive Board relations and the effective
contribution of all Directors. In liaison with the
Company Secretary, he ensures the Directors
receive accurate, timely and clear information.
TheDirectors are required to act with integrity,
lead by example and promote this culture within
the Company.
The Board seeks to ensure the alignment of its
purpose, values and strategy with this culture
of openness, debate and integrity through
ongoing dialogue and engagement with its
service providers, principally the Investment
Manager. The culture of the Board is considered
as part of the annual performance evaluation
process which is undertaken by each Director.
The culture of the Company’s service providers,
including their policies, practices and behaviour,
is considered by the Board as a whole during the
annual review of the performance and continuing
appointment of all service providers.
42
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Division of responsibilities
The Board is responsible for the effective stewardship of the Company’s
affairs, including corporate strategy, corporate governance, risk management
and overall investment policy.
Purpose:
Responsible for the efficient Orderly Realisation of the Company to maximise
shareholder value.
Provides overall leadership, sets out the strategic aims of the Company and
ensures that the necessary resources are in place for the Company to meet its
objective and fulfil its obligations toshareholders within a framework of high
standards of corporate governance and effective internal controls.
The Board
Board committees
Audit and Risk committee Management Engagement committee Remuneration and Nomination committee
Purpose:
Ensures that the Company’s financial performance
is properly monitored, controlled and reported, in
addition to engaging with the Company’s external
Auditor, and reviews and monitors the Company’s
risk and internal controls.
Purpose:
Reviews the performance and continuing
appointment of the Investment Manager and other
service providers.
Purpose:
Considers appointments to the Board and its
individual committees, makes recommendations
with regard to changes, maintaining a balanced
and effective Board and reviewing Directors’
remuneration.
Composition at 31 December 2024
Chair: Philip Braun
Marykay Fuller
Chair: Marykay Fuller
Alex Ohlsson
Philip Braun
Chair: Marykay Fuller
Alex Ohlsson
Philip Braun
See Audit and Risk committee report
on pages 49 to 51.
See Remuneration and Nomination committee report
on pages 46 to 48.
The terms of reference of the Board committees can be found on the Company’s website.
Chairman: Alex Ohlsson Marykay Fuller Philip Braun
Composition at 31 December 2024:
Governance
43
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Chairman and Senior Independent Director
The Chairman, Alex Ohlsson, is deemed by
his fellow independent Board members to be
independent in character and judgement and
free of any conflicts of interest.
He considers himself to have sufficient time
to spend on the affairs of the Company. He
has no significant commitments other than
those disclosed in his biography on page 40.
The Chairman’s independence has previously
been noted by Institutional Shareholder
Services, a proxy adviser which publishes voting
recommendations for its clients in respect
of listed issuers, due to his position as group
chairman (previously managing partner) of Carey
Olsen, the Company’s advisers on Jersey law.
The relationship between the Company and
Carey Olsen is not material in nature and is not
considered to present a conflict of interest. The
fees paid to Carey Olsen in the financial year
ended 31 December 2024 represented 0.36% of
the total expenses of the Company. Furthermore,
the Company and Carey Olsen, a firm of over 50
partners, maintain procedures to ensure that
the Chairman has no involvement in either the
decisions concerning the engagement of Carey
Olsen or the provision of legal services to the
Company.
Marykay Fuller is Senior Independent Director of
the Company. She acts as a sounding board for
the Chairman, meets with major shareholders
as appropriate, provides a channel for any
shareholder concerns regarding the Chairman
and takes the lead in the annual evaluation of the
Chairman by the Directors.
In the event the Company experiences a period
of distress, the Senior Independent Director
would work with the Chairman, the other
Directors and shareholders to resolve any issues.
A schedule of responsibilities of the Chairman
and the Senior Independent Director is available
on the Company’s website.
Committees
At the year end, the structure included an Audit
and Risk committee, a Management Engagement
committee and a Remuneration and Nomination
committee. The terms of reference for each of
the committees are available on the Company’s
website or upon request from the Company
Secretary.
Audit and Risk committee
The membership and activities of the Audit and
Risk committee are described in its report on
pages 49 to 51.
Management Engagement committee
The Management Engagement committee
comprises all Directors. It meets at least once
a year to consider the performance of the
Company’s key service providers, including
the Investment Manager, the terms of their
engagement, remuneration and their continued
appointment.
Following the committee’s assessment of the
Investment Manager and the third party service
providers whom the committee independently
evaluates, their continued appointment on the
terms agreed was considered to be in the best
interest of shareholders as a whole. Thus, it was
recommended to, and approved by, the Board
that the Investment Manager and the third party
service providers be retained.
A side letter to the investment management
agreement was approved by shareholders at the
EGM in May 2024. Refer to note 18 for further
information.
Remuneration and Nomination committee
The membership and activities of the
Remuneration and Nomination committee are
described in its report on pages 46 to 48.
Meetings
The Board holds meetings on a quarterly basis and additional meetings are held when necessary. The number of scheduled meetings of the Board and
committees held during the year and the attendance of individual Directors are shown below:
Quarterly Board Audit and Risk Management Engagement
Directors
Number
entitled
to attend
Number
attended
Number
entitled
to attend
Number
attended
Number
entitled
to attend
Number
attended
Alex Ohlsson 4 4 — — 1 1
Joanna Dentskevich
1
2 2 2 2 — —
Colin Huelin FCA
1
2 2 2 2 — —
Marykay Fuller 4 4 4 4 1 1
Philip Braun
1
2 2 2 2 1 1
Remuneration and Nomination Ad‑hoc Board
Directors
Number
entitled
to attend
Number
attended
Number
entitled
to attend
Number
attended
Alex Ohlsson 3 3 13 13
Joanna Dentskevich
1
1 1 7 7
Colin Huelin
1
1 1 7 7
Marykay Fuller 3 3 13 13
Philip Braun
1
2 2 6 6
1. On 20 May 2024, Joanna Dentskevich and Colin Huelin resigned from the Board and Philip Braun was appointed.
Division of responsibilities continued
44
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Directors are encouraged to give the chair
their views and comments on matters to be
discussed in advance when they are unable to
attend a meeting. In addition to their meeting
commitments, the non‑executive Directors liaise
with the Investment Manager when required
and maintain regular contact outside the Board
meeting schedule.
At each Board and committee meeting, the
Directors follow a formal agenda, circulated in
advance by the Company Secretary, which may
include a review of the Group’s investments and
associated matters such as gearing, dividend
policy, asset and capital allocation, risks,
marketing and investor relations, economic and
sector issues, regulatory changes and corporate
governance best practice. The Company’s
service providers also provide the Board with
relevant information to support each formal
agenda. The Board considers the Company’s
investment policy, objective and strategy in
thesemeetings.
Company Secretary
The Board has access to the Company Secretary
to advise on governance and day‑to‑day
administrative matters. The Company Secretary
is responsible for ensuring the Board receives
the timely delivery of information and reports
which the Directors require and that the
statutory obligations of the Company are met.
Market Abuse Regulation
Following the implementation of MAR on
3July2016, the Board formally adopted revised
procedures in relation to the management,
identification and disclosure of inside information
and share dealing in accordance with MAR.
Anti‑bribery and tax evasion
The Company has developed appropriate
anti‑bribery policies and procedures. The
Company has a zero‑tolerance policy towards
bribery and is committed to carrying out its
business fairly, honestly and openly.
The Company does not tolerate tax evasion in
its business. The Company complies with the
relevant UK law and regulation in relation to
the prevention of facilitation of tax evasion and
supports efforts to eliminate the facilitation
of tax evasion worldwide. The Company works
to make sure its stakeholders share this
commitment.
UK AIFM Regime
The Company is classed as an externally managed
AIF under the UK AIFM Regime. The Board has
appointed the Investment Manager as the
authorised AIFM to the Company and Apex
Financial Services (Corporate) Limited asthe
Company’s Depositary under the UKAIFMRegime.
AIFM remuneration
The Investment Manager is authorised as an
AIFM by the FCA under the UK AIFM Regime. The
Company has provided disclosures on its website
incorporating the requirements of the UK AIFM
Regime.
The total remuneration paid to the Investment
Manager by the Company is disclosed in note 18
to the financial statements.
MiFID II
The ordinary shares of the Company are
considered ‘non‑complex’ in accordance with
MiFID II.
Non‑mainstream pooled investments
The Board notes the rules of the FCA on
the promotion of non‑mainstream pooled
investments.
The Board confirms that it conducts the
Company’s affairs, and intends to continue to
conduct its affairs, so the Company’s shares
will be ‘excluded securities’ under the FCA’s
rules. This is on the basis that the Company
would qualify for approval as an investment
trust by the Commissioners for HM Revenue and
Customs under Sections 1158 and 1159 of the
Corporation Tax Act 2010 if resident and listed in
the UK. Therefore, the Company’s shares will not
amount to non‑mainstream pooled investments.
Accordingly, promotion of the Company’s shares
will not be subject to the FCA’s restriction
on the promotion of non‑mainstream pooled
investments.
Governance
45
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Composition, succession and evaluation
Remuneration and Nomination committee report
Committee
At 31 December 2024, the committee comprised
all three Directors of the Company, all of whom
are considered independent.
The committee met three times during the
year. A copy of the terms of reference within
which the committee operates is available on
the Company’s website or from the Company
Secretary upon request.
Board composition
The Board believes that it and its committees
have an appropriate composition and blend of
skills, experience, independence and diversity
of backgrounds to discharge their duties and
responsibilities effectively. The Board is of
the view that no one individual or small group
dominates decision making. The Board, via its
Remuneration and Nomination committee, keeps
its membership, and that of its committees,
under review to ensure that an acceptable
balance is maintained, and that the collective
skills and experience of its members continue to
be refreshed.
Directors’ attendance at all committee
meetings held during the year and their relevant
experience is detailed on page 44 and page 40
respectively.
Induction of new Directors and training
The Chairman, in conjunction with the Company
Secretary, ensures that all new Directors receive
a full, formal and tailored induction on joining.
An induction pack is provided to new Directors
containing relevant information about the
Company, its constitutional documents, terms of
reference, policies, processes and procedures.
New Directors meet with relevant persons at the
Investment Manager and the Chairman provides
guidance and mentoring as appropriate. A
programme of induction training is agreed with
each new Director.
The Directors are encouraged to keep up to date
and attend training courses on relevant matters.
The Company has a continuing professional
development policy which is reviewed annually.
Independence
The committee has reviewed the conflicts,
relationships, other positions and tenure of all
the Board members and continues to be satisfied
that no material interests exist which would
impact the ability of each Director to exercise
independent judgement.
Accordingly, the Board considers all Directors
on the Board to be independent in character
and judgement and entirely independent of the
Investment Manager. The Directors’ conflicts of
interest are detailed in note 18 to the financial
statements.
Tenure and succession
The Board’s policy regarding tenure of service,
including in respect of the Chairman, is that any
decisions regarding tenure will balance the need
to provide and maintain continuity, knowledge,
experience and independence, against the need
to periodically refresh the Board composition to
maintain an appropriate mix of the required skills,
experience, age and length of service.
The Board does not consider that length of
service in itself necessarily undermines a
Director’s independence nor that each Director,
including the Chairman, should serve for a finite
fixed period.
The appointment date of each Director is
shown on page 40. Alex Ohlsson has served as a
Director of the Company for ten years since his
appointment as Chairman in September 2015.
In order to align the Company’s tenure policy
with the maintenance of continuity, knowledge
and experience, the Board is of the view that it is
in the best interest of shareholders for all three
Directors of the Company to be retained until the
completion of the Orderly Realisation and solvent
liquidation of the Company, targeted to complete
in 2027.
Performance evaluation
The Directors are aware of the need to
continually monitor and improve performance
and recognise that regular Board evaluation is
a valuable feedback mechanism for improving
Board effectiveness.
During 2024, an internal performance evaluation
was carried out through a questionnaire. The
questionnaire is specifically designed to assess
the strength and independence of the Board,
the Chairman and the individual Directors, the
performance and focus of Board and committee
meetings, the need for additional information
required to facilitate Board discussions and each
Director’s continuing capacity. The results of
the performance evaluation are presented to
the Remuneration and Nomination committee
and subsequently to the Board, with any key
recommendations driven forward by the
committee with assistance from the Company
Secretary and Investment Manager, where
relevant.
I am pleased to present the Remuneration and Nomination
committee report for the year ended 31 December 2024.
Marykay Fuller
Chair of the Remuneration
and Nomination committee
46
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
1. The Company is a closed‑ended investment company with no employees, hence data for executive management in Listing Rule 9 Annex 2.1 is not applicable.
Diversity
Diversity is an important consideration to ensure
the Board and its committees have the right
balance of skills, experience, independence
and knowledge necessary to discharge their
responsibilities. The right blend of perspectives
is critical to ensuring an effective board and a
successful company.
Board diversity, including, but not limited
to, gender, ethnicity, professional and
industry‑specific knowledge and expertise,
understanding of geographic markets and
different cultures, is taken into account when
evaluating the skills, knowledge and experience
desirable to fill vacancies on the Board as and
when they arise.
Board appointments are made based on merit
and calibre with the most appropriate candidate,
who is the best fit for the Company, nominated
for appointment.
As a result, no measurable targets in relation to
Board diversity have been set.
The committee believes the Directors provide,
individually and collectively, the breadth of skill
and experience to manage the Company.
In compliance with Listing Rule 9.8.6, the
Company provides information, set out in the
tables below, on its progress against the targets
on Board diversity:
a) at least 40% of individuals on the Board
should be women;
b) at least one senior Board position should be
held by a woman; and
c) at least one individual on the Board should be
from a minority ethnic background.
Gender identity¹
Number of
Board
members
Percentage on
the Board
Number of
senior positions
on the Board
Men 2 67% 1
Women 1 33% 1
Not specified/prefer not to say — — —
Ethnic background¹
Number of
Board
members
Percentage on
the Board
Number of
senior positions
on the Board
White British or other White (including minority white groups) 3 100% 2
Mixed/Multiple ethnic groups — — —
Asian/Asian British — — —
Black/African/Caribbean/Black British — — —
Other ethnic group — — —
Not specified/prefer not to say — — —
The data in the above tables was collected through self‑reporting by the Directors.
Governance
47
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Composition, succession and evaluation continued
Remuneration and Nomination committee report continued
Diversity continued
At the date of this report, the Board consists of
two males and one female. From 2019 to the AGM
in May 2024, the Board consisted of two males
and two females. At the AGM in May 2024, as a
result of the strategic review and subsequent
approval by shareholders of the discontinuation
resolution, two Directors, who had both served
nine years, resigned from the Board of the
Company and Philip Braun was appointed,
reducing the size of the Board from four to three
members.
An independent consultant, Maven Partners,
was engaged for the recruitment process. The
criteria was a qualified accountant (so they could
chair the Audit and Risk committee) who was a
Jersey resident, because, as a Jersey resident
company, the Company must have at least two
Jersey resident directors. The Remuneration and
Nomination committee assessed the most viable
candidates and Mr Braun was appointed based on
merit, calibre and who would be the best fit for
the Company.
The requirement for the Company to have at
least two Jersey resident directors affects its
ability to source ethnically diverse directors.
The2021 census of the population of Jersey
showed that of a population of 103,297, only
4.1% were from a minority ethnic background,
compared to England and Wales which had
a population of66.8 million in 2019
1
, of which
15.2%were from a minority ethnic background.
Overboarding
Prior to their appointment to the Board, a
Director must disclose existing significant
commitments and confirm that they are able to
allocate sufficient time to the business of the
Company. In addition, a Director must consult
with the Chairman or Senior Independent
Director prior to taking on any listed company,
conflicted, time‑consuming or otherwise
material board appointment and promptly
notify the Company Secretary of any new board
appointments they take on.
On an annual basis, through the Board’s
internal evaluation, as described on page 46,
each Director’s continuing ability to meet the
time requirements of the role is assessed
by considering, amongst other things, their
attendance at Board, committee and other ad
hoc meetings and events of the Company during
the year as well as the nature and complexity of
other, both public and private, roles held.
Directors’ attendance at all Board and committee
meetings held during the year is detailed on
page 44. None of the Directors hold an executive
position of a public company or chair apublic
operating company.
The committee believes all the Directors
have sufficient time to meet their Board
responsibilities.
Re‑election
Beyond the requirements of the Articles, and
in accordance with the AIC Code, the Board
has agreed a policy whereby all Directors will
seek annual re‑election at the Company’s AGM.
Any Director not re‑elected would resign in
accordance with applicable Jersey regulatory
requirements.
Having considered the Directors’ performance
and the results of the internal performance
evaluation, the Board believes it continues to
be effective and the Directors bring extensive
knowledge and commercial experience together
with demonstrating a range of business, financial
and asset management skills. Taking this into
consideration as well as the managed wind‑down
of the Company and thus the desire to maintain
continuity, knowledge and experience on the
Board, the Board believes that it would be in the
Company’s best interests for the Directors to be
proposed for re‑election at the AGM given their
material level of contribution and commitment
to the role and, hence, recommends that
shareholders vote in favour of each Director’s
proposed re‑election.
Remuneration
The Directors’ remuneration report on pages 52
and 53 details the remuneration policy and the
Directors’ remuneration during the year.
Marykay Fuller
Chair of the Remuneration
and Nomination committee
29 April 2025
1. 2019 is the latest ethnic data to be released for England and Wales.
48
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Statement from the chair
The Board is supported by the Audit and Risk
committee, with written terms of reference
which are available on the Company’s website
or on request from the Company Secretary.
The committee’s primary role is monitoring the
integrity of the Company’s financial reporting
to ensure it is fair, balanced, understandable
and provides the information necessary for
shareholders and other users to assess the
Company’s position and performance, business
model and strategy.
The committee is responsible for monitoring
internal controls, risk management and the
external audit process, which includes making
recommendations to the Board in respect of the
appointment, re‑appointment and remuneration
of the Auditor.
Composition and meetings
At 31 December 2024, the committee comprised
Philip Braun (chair) and Marykay Fuller. The
qualifications and experience of the Audit and
Risk committee members are detailed on pages
49 to 51. The Board considers that the committee
chair, Mr Braun, a Chartered Accountant, has
recent and relevant financial experience as
required by the provisions of the AIC Code.
Audit, risk and internal control
Audit and Risk committee report
I am pleased to present the Audit and Risk committee
report for the year ended 31 December 2024.
Philip Braun
Chair of the Audit and Risk committee
The committee formally met four times during
the year ended 31 December 2024. Details of
attendance at meetings held during the year are
set out on page 44.
Although not members of the committee, the
Company Secretary, the Investment Manager,
the lead audit partner and representatives from
the Company’s Auditor are invited to attend
committee meetings. The Auditor has the
opportunity to meet with the committee without
representatives of the Investment Manager
beingpresent.
The Auditor is not present when their
performance and remuneration is discussed.
Financial reporting
The committee considered the requirements
of the UK Companies Act 2006 (Strategic
Report and Directors’ Report) Regulations
2013 with which it is complying voluntarily, in
line with best practice reporting. As required
under the AIC Code, the committee specifically
reviewed the Company’s annual report and
financial statements, including the Company’s
key performance indicators and alternative
performance measures, to conclude whether
itis:
— fair, balanced, understandable, comprehensive
and consistent with prior year reporting; and
— how the Board assesses the performance and
position of the Company’s business during and
at the end of the financial year.
The committee also considered if the annual
report and financial statements provided
shareholders with the information necessary
to assess the Company’s strategy and business
model.
The committee presented its recommendations
to the Board and the Board concluded that
it considered the annual report and financial
statements, taken as a whole, to be fair,
balanced and understandable and to provide
the information necessary for shareholders to
assess the Company’s position and performance,
business model and strategy.
In addition to the above matters, the committee’s
work focused on:
— significant accounting matters recommended
to the Board and other narrative disclosures
in the half‑yearly and annual financial
statements of the Company, including matters
of judgement in relation to the valuation of
financial assets at fair value through profit or
loss and an assessment of the methodology.
The committee discussed these matters
with the independent Valuation Agent, the
Investment Manager and the Auditor;
— the effectiveness of the Company’s internal
control environment and risk management
framework;
— challenging the results of the Investment
Manager’s stress tests for the purpose of the
going concern and viability statements and
considering the going concern disclosures
on page 36 and in note 2.1 to the financial
statements;
— overseeing the Company’s relations with the
Auditor, including assessing the conduct and
effectiveness of the audit process and the
Auditor’s independence and objectivity and
recommending the Auditor’s re‑appointment
and approval of the Auditor’s fees; and
— the committee’s own terms of reference.
The committee has direct access to the
Auditor and to the key senior staff of the
Investment Manager and reports its findings
and recommendations to the Board, which
retains the ultimate responsibility for the
financial statements of the Company.
Allrecommendations made during the year
wereaccepted by the Board.
Governance
49
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Audit, risk and internal control continued
Audit and Risk committee report continued
As outlined in notes 11 and 17 to the financial statements, the total value
of financial assets at fair value at 31 December 2024 was £173.9 million
(31 December 2023: £366.8 million). Market quotations are not available
for these financial assets such that their valuation is undertaken using a
discounted cash flow methodology, with exception to the methodology
adopted for valuing the seven loans in the investment portfolio that are
based on net realisable value. Refer to note 2.1 for further information.
The discount rates adopted to determine the valuation are selected and
recommended by the independent Valuation Agent. The discount rates are
applied to the expected future cash flows for each investment’s financial
forecasts determined by the Investment Manager, to arrive at a valuation
(discounted cash flow valuation). The resulting valuation is sensitive to the
discount rate selected. The independent Valuation Agent is experienced and
active in the area of valuing these investments and adopts discount rates
that reflect their current and extensive experience.
The independent Valuation Agent performs semi‑annual financial asset
valuations and provides valuation reports to the Board. The performance
of the individual investments and the fair value of the financial assets is
discussed with the Investment Manager at each quarterly Board meeting.
The committee met with the independent Valuation Agent prior to the
issuance of their semi‑annual valuation reports to discuss and challenge
their fair valuation of the Company’s loans. The Valuation Agent discussed
the valuation methodology, including the key general market conditions by
sector and their impact on the valuation.
During the year, the committee also met with the Investment Manager to
discuss portfolio reports provided to the independent Valuation Agent
for the valuations. The committee challenged the judgements and key
estimates applied, including those concerning the loans valued based on
net realisable value, the impact of inflation and/or interest rate protection
and general market conditions.
In addition, following further consideration of inputs as part of the
year end reporting process, the committee recommended that the
Board adopt a revised valuation of one of the Group’s loans secured
against a property asset prior to finalisation of the financial statements.
Theupdated valuation, which remained within the original valuation range,
as reported by the independent Valuation Agent, resulted in a £7.2 million
reduction in the fair value of financial assets through profit or loss.
The committee was satisfied that the valuation methodology and
judgements, including the range of the discount rates adopted by the
independent Valuation Agent, were appropriate for the valuation.
Significant issues considered
After discussions with the Investment Manager and the Auditor, the committee determined that the key risks of material misstatement to the Company’s
financial statements are related to the fair valuation of the investments as detailed below.
Fair valuation of investments Actions and conclusions
Other matters considered during the year
Accounting policies, narrative reporting,
critical accounting estimates and key
judgements
The committee reviewed the narrative reporting,
accounting policies and note 2.2 to the financial
statements that relate to critical accounting
estimates and key judgements and confirmed
they are appropriate for the Company.
Risk management
The Company has in place a risk register
to manage and track identified risks and
uncertainties and potential emerging risks that
the committee has identified the Company may
be exposed to. For each risk, the committee
considers, inter alia, the impact on the Company
achieving its investment objective along with the
nature and extent of the risk, their mitigants and
any driving factors which may increase the risk.
The level of residual risk determined as part
of this analysis assists the Board (on the
committee’s recommendation) in determining
whether it is within the Company’s risk appetite
and identifying any follow‑up actions required.
Both the risk register and the financial crime
risk assessment are reviewed semi‑annually in
order to support the committee’s assessment
of the principal risks and uncertainties and
emerging risks the Company reports in the
half‑yearly report and annual report. Details of
the Company’s risk management framework,
including the role of the AIFM, are set out on
page 31.
Internal controls
The committee monitored and reviewed the
internal controls of the Company, which included:
— quarterly reports to the Board from
the Investment Manager, Administrator,
Compliance Officer and Depositary;
— bi‑annual reports from the Investment
Manager’s risk officer to the committee;
— ISAE 3402 Type II reports on the operations
of the key service providers, namely the
Investment Manager, Administrator and
Registrar; and
— annual assurance confirmations provided by
key service providers to the Management
Engagement committee, which covered
matters in relation to financial crime, cyber
security, fraud prevention and detection,
ESGand other compliance.
The committee concluded that the Company’s
internal controls remain adequate and effective.
Going concern and viability statement
The Board’s assessment of the Company’s
ability to continue as a going concern, as well
as its longer‑term viability, is detailed in the risk
management section on page 36 and in note 2.1
to the financial statements.
50
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
External audit
The committee met with the Auditor in
September 2024 to review, challenge and agree
their audit plan, and in particular their approach
to the valuation of investments.
Independence and objectivity of the
Auditor
PwC has been the Auditor of the Company since
its first annual reporting period in 2016 and Lisa
McClure has been the audit partner since the
financial year ended 31 December 2021.
To fulfil its responsibility regarding the
independence and objectivity of the Auditor,
theAudit and Risk committee considered:
— a report from the Auditor describing its
arrangements for maintaining independence;
and
— the extent and nature of the non‑audit
services provided by the Auditor.
The committee has agreed a policy whereby,
in order to avoid any potential impact on the
independence and objectivity of the Auditor,
the Company and its subsidiaries will not seek to
obtain non‑audit services from the Auditor, with
the exception of the review of the half‑yearly
report and financial statements which are
included in the FRC’s whitelist of permitted
non‑audit services.
External audit results
The committee met with the Auditor in April 2025
to discuss their audit report and opinion, after
the conclusion of their audit.
The Auditor explained the results of their audit
and a summary of the differences identified. The
Audit and Risk committee were satisfied that the
differences were not material in the context of
thefinancial statements as a whole.
Effectiveness of the external audit
The committee discussed the effectiveness
of the external audit process during the year,
considering the performance, objectivity,
independence and relevant experience of the
Auditor. Following this review, the committee
concluded that the audit was effective.
Re‑appointment of the Auditor
With the ten‑year anniversary of PwC being
appointed as the Company’s Auditor fast
approaching, coupled with the requirement to
conduct an audit tender process at least every
ten years (per the EU Audit Regulation 2014), the
Board decided to put the audit out for tender,
inadvance of the ten‑year deadline, to ensure
the Company is well placed as it progresses
through the Orderly Realisation process.
After due and careful consideration, the
Board invited seven audit firms, including the
incumbent, to the tender process.
Following the conclusion of a formal competitive
audit tender process led by the Company’s Audit
and Risk committee, the Board has approved the
appointment of Grant Thornton Limited (“Grant
Thornton”) as the Company’s new Auditor,
succeeding PwC.
Grant Thornton will conduct the audit of the
Company’s financial statements for the financial
year ending 31 December 2025. The appointment
of Grant Thornton as Auditor is subject to
approval by shareholders at the 2025 Annual
General Meeting of the Company.
The following table summarises the remunerationpaid to the Auditor for audit andnon‑audit services during the year ended 31December 2024:
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Audit fees
Annual audit of the Company 256 170
Audit‑related services
Review of half‑yearly report 75 36
Total 331 206
Philip Braun
Chair of the Audit and Risk committee
29 April 2025
Governance
51
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Remuneration
Directors’ remuneration report
The Directors’ remuneration report provides
details on remuneration in the year. Although
it is not a requirement under Jersey Company
Law to have the Directors’ remuneration report
or the Directors’ remuneration policy approved
by shareholders, the Board believes that as
a company whose shares are traded on the
LondonStock Exchange, it is good practice for
itto do so.
The Directors’ remuneration report is put to a
shareholder vote every year.
The Directors’ remuneration policy is put to a
shareholder vote at least once every three years
and in any year if there is a change in the policy.
The remuneration policy was put to, and
approved by, shareholders in 2023 and as
there will be no change in the way the policy
will be implemented during the course of the
next financial year, there is no requirement
for the policy to be put to shareholders at this
year’sAGM.
This report is not subject to audit.
I am pleased to present the Directors’ remuneration report
for the year ended 31 December 2024.
Marykay Fuller
Chair of the Remuneration
and Nomination committee
Directors’ remuneration
The fees paid to the Directors in the years ended 31 December 2024 and 31 December 2023 are set out below.
Directors’
base fee
£
Chairman/SID
fee
£
Committee
chair fee
£
ESG
representative
fee
£
One‑off
strategic review
fee
£
Expenses
£
Total
£
2024 2023 2024 2023 2024 2023 2024 2023 2024 2023 2024 2023 2024 2023
Alex Ohlsson 48,375 48,375 20,000 20,000 — — — — 15,000 — 20 1,014 83,395 69,389
Joanna Dentskevich
1
18,720 48,375 — — 3,870 10,000 1,935 5,000 — — — 652 24,525 64,027
Colin Huelin
1
18,720 48,375 — — 5,805 15,000 — — — — — 350 24,525 63,725
Marykay Fuller 48,375 48,375 6,123 — 10,000 10,000 — — 10,000 — 4,968 3,013 79,466 61,388
Philip Braun
1
29,754 — — — 12,301 — — — — — 467 — 42,522 —
Total 163,944 193,500 26,123 20,000 31,976 35,000 1,935 5,000 25,000 — 5,455 5,029 254,433 258,529
1. On 20 May 2024, Joanna Dentskevich and Colin Huelin resigned from the Board and Philip Braun was appointed.
The fees paid to the Directors were in relation to non‑executive Director services. At 31 December 2024, liabilities in respect of these services amounted
to £51,000 (31 December 2023: £63,000). No variable remuneration, discretionary payments or payments for loss of office were made during the year.
The Remuneration and Nomination committee met in May 2024 and it was agreed that in light of the changes in the composition of the Board, there
wouldbe a re‑allocation of Directors’ remuneration related to revised committee responsibilities, assignments and compensation after the AGM.
There‑allocation recommended to, and approved by, the Board is shown in the table on page 53.
52
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Directors’ interests
At 31 December 2024, the interests of the Directors in the ordinary shares of the Company are as set out below
1
:
31 December
2024
Number
of shares
31 December
2023
Number
of shares
Alex Ohlsson 25,329 50,000
Marykay Fuller 9,954 19,650
Philip Braun 6,642 —
Joanna Dentskevich
2
— 57,379
Colin Huelin
2
— 34,142
1. The Directors’ shareholdings are either direct and/or indirect holdings of the ordinary shares in the Company.
2. Joanna Dentskevich and Colin Huelin resigned from the Board on 20 May 2024.
Changes to the above holdings between 31 December 2023 and 31 December 2024 are due to the compulsory capital redemptions.
Directors’ remuneration policy
In accordance with the AIC Code, no Director is
involved in deciding his or her own remuneration.
The Board considers that Directors’ fees should
reflect duties, responsibilities and the value of
time spent and, as such, the Chairman and the
chairs of Board committees receive additional
remuneration for these roles.
Directors are not eligible for bonuses, pension
benefits, share options, long‑term incentive
schemes or other benefits in respect of
their services as non‑executive Directors of
the Company. In addition, no payment will be
made toa Director for loss of office, or as
consideration for or in connection with his/her
retirement from office.
The Board may, however, allow for additional
remuneration to be paid where Directors, at the
request of the Company, are involved in ad hoc
duties beyond those normally expected as part of
the appointment.
The remuneration of each of the Directors is
subject to fixed fee arrangements, paid quarterly
in arrears. Part of the Directors’ fee may be paid
in the form of fully paid shares in the capital of
the Company. At 31 December 2024, no shares
were issued in lieu of payment of the Directors’
fee (31 December 2023: none).
The aggregate of all the Directors’ remuneration
is currently subject to an annual cap of £335,000
in accordance with the Articles and is reviewed
annually.
The Company will reimburse the Directors all
reasonable travelling, hotel and other expenses
properly incurred by them in or about the proper
performance of their duties and the taking of
reasonable independent legal advice concerning
matters relating to their directorship, provided
that if and when required by the Company, they
produce receipts to the Company or other
evidence of actual payment of expenses.
The Company is committed to ongoing
shareholder dialogue and any views expressed by
shareholders on the fees being paid to Directors
would be taken into consideration by the Board
when reviewing the Directors’ remuneration
policy and in the annual review of Directors’ fees.
31 December
2024
£
31 December
2023
£
Base fee 48,375 48,375
Chairman’s fee 20,000 20,000
Senior Independent Director fee 10,000 —
Audit and Risk committee chair fee 20,000 —
Audit committee chair fee — 15,000
Risk committee chair fee — 10,000
Management Engagement committee chair fee 5,000 5,000
Remuneration and Nomination committee chair fee 5,000 5,000
ESG representative fee — 5,000
Approval
The Directors’ remuneration report was approved by the Board and signed on its behalf by:
Marykay Fuller
Chair of the Remuneration and Nomination committee
29 April 2025
Governance
53
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Principal activity and business review
The strategic report has been prepared by the
Directors and should be read in conjunction with
the Chairman’s statement, forming part of the
annual report to shareholders.
Directors
The Directors in office at 31December 2024 are
shown on page 40.
The terms and conditions of the appointment
of the Directors are formalised in letters of
appointment, copies of which are available for
inspection at the Company’s registered office.
None of the Directors have a contract of service
with the Company nor has there been any other
contract or arrangement between the Company
and any Director at any time during the year.
The Company has Directors’ and Officers’ liability
insurance and civil liability insurance. Under the
Company’s Articles, the Directors are provided,
subject to the provisions of Jersey legislation,
with an indemnity in respect of liabilities which
they may sustain or incur in connection with
theirappointment.
Director conflicts of interest
It is the responsibility of each individual Director
to avoid a conflict‑of‑interest situation arising.
The Director must inform the Board as soon
as he or she is aware of an interest that might
conflict with the interests of the Company.
TheCompany’s articles of association authorise
the Board to approve such situations, where it
is deemed appropriate. A register of conflicts
is maintained by the Company Secretary and
is reviewed at Board meetings, to ensure that
any authorised conflicts remain appropriate.
TheDirectors are required to confirm whether
there has been any change in their position at
these meetings.
The Directors must also comply with the
statutory rules requiring company directors to
declare any interest in an actual or proposed
transaction or arrangement with the Company.
Further details of the Directors’ conflicts
of interest can be found in note 18 to the
financialstatements.
Share capital
Details of the movements in share capital during
the year are set out in the statement of changes
in equity on page 66 and in note 16 to the
financial statements.
At the AGM held on 20 May 2024, the Company
was granted the authority to purchase up to
14.99% of the Company’s ordinary share capital in
issue at the date on which the notice of the AGM
was published. This authority will expire at the
conclusion of, and renewal will be sought at, the
AGM to be held on 6 June 2025. No repurchases
were made under this authority during the year.
During the year, the Company cancelled all 16.4
million shares held in treasury and redeemed
210.0 million shares through compulsory
redemptions.
At 31 December 2024, the Company’s issued
share capital comprised 215,606,413 ordinary
shares of no par value, none of which are held in
treasury. The total voting rights of the Company
at 31 December 2024 were 215,606,413.
At general meetings of the Company, every
ordinary shareholder shall have one vote in
respect of every ordinary share.
Dividends
Details of the dividends paid and declared during
the year are set out in note 9 to the financial
statements. As the last dividend in respect of any
financial period is payable prior to the relevant
AGM, it is declared as an interim dividend and,
accordingly, there is no final dividend payable.
The Board is conscious that this means
shareholders will not be given the opportunity
to vote on the payment of a final dividend.
Accordingly, it has been decided that
shareholders will be asked to confirm their
approval of the Company’s dividend policy at
theforthcoming AGM.
Directors’ report
The corporate governance statement set out
on pages 40 to 55 forms part of this report.
54
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Significant voting rights
At 31 December 2024, the Company has been informed of the following holdings representing more than 3% of the voting rights of the Company:
Name Shares held
Percentage
of total
voting rights
Valu‑Trac Investment Management 19,590,833 9.09%
CCLA Investment Management 17,097,474 7.93%
Close Asset Management 15,317,464 7.10%
Waverton Investment Management 11,369,759 5.27%
West Yorkshire Pension Fund 9,331,439 4.33%
Hargreaves Lansdown Asset Management 7,311,438 3.39%
BlackRock Investment Management 7,275,509 3.37%
Canopius 6,890,469 3.20%
The Company has not been informed of any changes to the interests between 31 December 2024 and the date of this report.
Auditor
With the ten‑year anniversary of PwC being appointed as the Company’s Auditor fast approaching, coupled with the requirement to conduct an audit
tender process at least every ten years (per the EU Audit Regulation 2014), the Board decided to put the audit out for tender, in advance of the ten‑year
deadline, to ensure the Company is well placed as it continues through the Orderly Realisation process.
After due and careful consideration, the Board invited seven audit firms, including the incumbent, to the tender process.
Following the conclusion of a formal competitive audit tender process led by the Company’s Audit and Risk committee, the Board has approved the
appointment of Grant Thornton Limited (“Grant Thornton”) as the Company’s new Auditor, succeeding PwC.
Grant Thornton will conduct the audit of the Company’s financial statements for the financial year ending 31 December 2025. The appointment of Grant
Thornton as Auditor is subject to approval by shareholders at the 2025 Annual General Meeting of the Company.
The Directors holding office at the date of this annual report confirm that, so far as they are each aware, there is no relevant audit information of which the
Company’s Auditor is unaware.
Each Director has taken all the steps that they ought to have taken as a Director to make themselves aware of any relevant audit information and to
establish the Company’s Auditor is aware of that information.
Financial risk management
Information about the Company’s financial risk management objectives and policies is set out in note 17 to the financial statements.
Requirements of the Listing Rules
Listing Rule 9.8.4 requires the Company to include specified information in a single identifiable section of the annual report or a cross reference table
indicating where the information is set out.
The information required under Listing Rule 9.8.4(7) in relation to allotments of shares is set out under the heading ‘Share capital’ on page 54. The Directors
confirm that there are no other disclosures required in relation to Listing Rule 9.8.4.
On behalf of the Board
Alex Ohlsson
Chairman
29 April 2025
Governance
55
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
What’s in
this section
Statement of Directors’ responsibilities
Page 58
Independent Auditor’s report
Pages 59 to 63
Statement of comprehensive income
Page 64
Statement of financial position
Page 65
Statement of changes in equity
Page 66
Statement of cash flows
Page 67
Notes to the financialstatements
Pages 68 to 92
Financial statements
56
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
57
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Under the terms of the DTRs of the FCA,
the Directors are responsible for preparing
the annual report and financial statements
in accordance with applicable law and IFRS
Accounting Standards.
Companies Law requires the Directors to prepare
financial statements for each year, which give a
true and fair view of the state of affairs of the
Company and the profit or loss for that year.
The Directors are required to:
— properly select suitable accounting policies
and apply them consistently;
— present information, including accounting
policies, in a manner that provides relevant,
reliable, comparable and understandable
information;
— provide additional disclosures when
compliance with the specific requirements of
IFRS Accounting Standards are insufficient
to enable users to understand the impact
of particular transactions, other events and
conditions on the Company’s financial position
and financial performance;
— make judgements and estimates that are
reasonable and prudent; and
— make an assessment of the Company’s ability
to continue as a going concern.
The Directors are responsible for keeping
adequate accounting records that disclose
with reasonable accuracy at any time the
financial position of the Company. They are also
responsible for safeguarding the assets of the
Company and hence for taking reasonable steps
for the prevention and detection of fraud and
other irregularities.
The Directors have overall responsibility for the
maintenance and integrity of the corporate and
financial information included on the Company’s
website.
Legislation in Jersey governing the preparation
and dissemination of financial statements may
differ from legislation in other jurisdictions.
Directors’ responsibility statement
In accordance with the FCA’s DTRs, each of the
Directors, whose names are set out on page 40,
confirms that to the best of his or her knowledge:
— the annual report and financial statements,
which have been prepared in accordance
with IFRS Accounting Standards, give a true
and fair view of the assets, liabilities, financial
position and profit or loss of the Company;
and
— the strategic report, including the Directors’
report, includes a fair and balanced review
of the development and performance of the
business, and the financial position of the
Company, together with a description of the
principal risks and uncertainties that the
Company faces.
The annual report and financial statements, taken
as a whole, are considered by the Board to be
fair, balanced and understandable, and provide
the information necessary for shareholders to
assess the Company’s position, performance,
business model and strategy.
On behalf of the Board
Alex Ohlsson
Chairman
29 April 2025
Statement of Directors’ responsibilities
In respect of the annual report and financial statements
58
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Independent Auditor’s report
To the members of GCP Asset Backed Income Fund Limited
Report on the audit of the
financialstatements
Our opinion
In our opinion, the financial statements give a
true and fair view of the financial position of
GCP Asset Backed Income Fund Limited (the
“company”) as at 31 December 2024, and of
its financial performance and its cash flows
for the year then ended in accordance with
IFRS Accounting Standards as issued by the
International Accounting Standards Board (“IFRS
Accounting Standards”) and have been properly
prepared in accordance with the requirements of
the Companies (Jersey) Law 1991.
What we have audited
The company’s financial statements comprise:
— the statement of financial position as at
31December 2024;
— the statement of comprehensive income
forthe year then ended;
— the statement of changes in equity for the
year then ended;
— the statement of cash flows for the year
thenended; and
— the notes to the financial statements,
comprising material accounting policy
information and other explanatory
information.
Basis for opinion
We conducted our audit in accordance with
International Standards on Auditing (“ISAs”).
Our responsibilities under those standards are
further described in the Auditor’s responsibilities
for the audit of the financial statements section
of our report.
We believe that the audit evidence we have
obtained is sufficient and appropriate to provide
a basis for our opinion.
Independence
We are independent of the company in
accordance with the ethical requirements
that are relevant to our audit of the financial
statements of the company, as required by the
Crown Dependencies’ Audit Rules and Guidance.
We have fulfilled our other ethical responsibilities
in accordance with these requirements.
Our audit approach
Overview
Audit scope
— The company is based in Jersey and the
financial statements include its investments
in the subsidiary and other investments as
financial assets at fair value through profit or
loss.
— Our audit work was performed solely
in Jerseyfor the audit of the financial
statements of the company.
— We tailored the scope of our audit taking
into account the types of investments within
the company, the accounting processes
and controls, and the industry in which the
company operates.
— We conducted our audit of the financial
statements based on information provided
by the appointed service providers to the
company to whom the Board of Directors has
delegated the provision of certain functions,
including Gravis Capital Management Limited
(the “Investment Manager and AIFM”) and
Apex Financial Services (Alternative Funds)
Limited (the “Administrator”).
Key audit matters
— Valuation of financial assets at fair value
through profit or loss: investment in
Subsidiary.
Materiality
— Overall materiality: GBP 4.4 million (2023:
GBP9.9 million) based on 2.5% of net assets.
— Performance materiality: GBP 3.3 million
(2023:GBP 7.4 million).
The scope of our audit
As part of designing our audit, we determined
materiality and assessed the risks of material
misstatement in the financial statements. In
particular, we considered where the directors
made subjective judgements; for example, in
respect of significant accounting estimates that
involved making assumptions and considering
future events that are inherently uncertain. As
in all of our audits, we also addressed the risk
of management override of internal controls,
including among other matters, consideration
of whether there was evidence of bias that
represented a risk of material misstatement
dueto fraud.
Key audit matters
Key audit matters are those matters that, in
the auditor’s professional judgement, were of
most significance in the audit of the financial
statements of the current period and include
the most significant assessed risks of material
misstatement (whether or not due to fraud)
identified by the auditor, including those which
had the greatest effect on: the overall audit
strategy; the allocation of resources in the audit;
and directing the efforts of the engagement
team. These matters, and any comments we make
on the results of our procedures thereon, were
addressed in the context of our audit of the
financial statements as a whole, and in forming
our opinion thereon, and we do not provide a
separate opinion on these matters.
This is not a complete list of all risks identified by
our audit.
Financial statements
59
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Our audit approach continued
Key audit matters continued
Key audit matter How our audit addressed the key audit matter
Valuation of financial assets at fair value through
profit or loss: investment in Subsidiary
Refer to note 11 and note 17 of the financial statements
The valuation of financial assets at fair value through profit
or loss: investment in Subsidiary (“investment in Subsidiary”)
drives a number of key performance indicators, such as net
asset value, which is of significant interest to investors and
the market.
The fair value of the investment in Subsidiary is
substantiallyderived from the fair value of secured loan
notes to the end borrower.
The valuations of secured loan notes are performed using
contractual cash flows generated by each loan facility
over a medium to long‑term period and by selecting
key assumptions such as the discount rate adjusted as
appropriate for market, credit and liquidity risk factors.
The nature of discounted cash flow (“DCF”) is inherently
subjective due to key assumptions used for the discount
rate and the amount or timing of cash flows supporting the
interest and capital repayments on debt positions held.
The existence of significant estimation uncertainty,
coupled with the fact that small percentage differences in
assumptions to the valuations when aggregated could result
in material misstatement, are the reasons for our specific
audit focus and attention to this area.
As a result of the inherent nature of the key assumptions
used in the DCF model, the Directors appointed an external
Valuation Agent to support them in ascertaining the fair
value of secured loan notes.
We have performed the following procedures:
— Discussions were held with the Directors of the company and the Investment
Manager to enable us to understand and evaluate the controls in place over the
valuation process.
— We obtained a summary of the portfolio movements during the year.
— We assessed the company’s external Valuation Agents’ independence, qualifications
and expertise and read their terms of engagement with the Company to determine
whether there were any matters that might have affected their objectivity or may
have imposed scope limitations upon their work.
— We read the valuation report issued by the external Valuation Agent and understood
the valuation approach used.
— We engaged our own auditor’s experts to critique and challenge the work performed
and assumptions used by the Valuation Agent.
— We held discussions with the Investment Manager to understand the monitoring
process of the borrowers’ payments and financial performance, in identifying
circumstances that can materially impact the recoverability of the contractual
cashflows.
— We agreed a sample of contractual cash flows used in the DCF calculation to the
contractual payment schedule of the loan facility agreements and tested the
mathematical accuracy of the DCF calculation. The following procedures were
carried out:
— for a sample of secured loan notes repaid or drawn down during the year, we
tested the movement to cash payments, cash receipts and relevant support;
— for a sample of interest received during the year, we agreed the amounts to bank
payments or receipts; and
— for a sample of interest accrued during the year, we recomputed the amounts
using the interest rates as per facility agreements and the outstanding balances
of the loan amounts at the relevant period.
— We challenged the assumptions used in the valuation model.
— We considered the adequacy of the company’s disclosures in respect of the fair
value of the investment in Subsidiary.
— We also considered the disclosure of the degree of sensitivity when a reasonably
possible change in a key assumption could give rise to a change in the fair value of
the investment in Subsidiary.
Based on the above procedures, we have not identified any material matters to report
to those charged with governance.
Independent Auditor’s report continued
To the members of GCP Asset Backed Income Fund Limited
60
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
How we tailored the audit scope
We tailored the scope of our audit to ensure that we performed enough work to be able to give an opinion on the financial statements as a whole, taking
into account the structure of the company, the accounting processes and controls, the industry in which the company operates, and we considered the
risk of climate change and the potential impact thereof on our audit approach.
Materiality
The scope of our audit was influenced by our application of materiality. We set certain quantitative thresholds for materiality. These, together with
qualitative considerations, helped us to determine the scope of our audit and the nature, timing and extent of our audit procedures on the individual
financial statement line items and disclosures and in evaluating the effect of misstatements, both individually and in aggregate on the financial statements
as a whole.
Based on our professional judgement, we determined materiality for the financial statements as a whole as follows:
Overall materiality GBP 4.4 million (2023: GBP 9.9 million)
How we determined it 2.5% of net assets
Rationale for benchmark applied We believe that net assets is the most appropriate benchmark because this is the key metric of interest to
investors. It is also a generally accepted measure used for companies in this industry.
We use performance materiality to reduce
to an appropriately low level the probability
that the aggregate of uncorrected and
undetected misstatements exceeds overall
materiality. Specifically, we use performance
materiality in determining the scope of our audit
and the nature and extent of our testing of
account balances, classes of transactions and
disclosures, for example in determining sample
sizes. Our performance materiality was 75%
(2023: 75%) of overall materiality, amounting to
GBP 3.3 million (2023: GBP 7.4 million) for the
company financial statements.
In determining the performance materiality, we
considered a number of factors – the history of
misstatements, risk assessment and aggregation
risk and the effectiveness of controls – and
concluded that an amount at the upper end of
our normal range was appropriate.
We agreed with the Audit and Risk Committee
that we would report to them misstatements
identified during our audit above GBP 220,000
(2023: GBP 496,000) as well as misstatements
below that amount that, in our view, warranted
reporting for qualitative reasons.
Reporting on other information
The other information comprises all the
information included in the Annual Report and
financial statements (the “Annual Report”) but
does not include the financial statements and
our auditor’s report thereon. The directors are
responsible for the other information.
Our opinion on the financial statements does
not cover the other information and we do
not express any form of assurance conclusion
thereon.
In connection with our audit of the financial
statements, our responsibility is to read the
other information and, in doing so, consider
whether the other information is materially
inconsistent with the financial statements or our
knowledge obtained in the audit, or otherwise
appears to be materially misstated. If, based on
the work we have performed, we conclude that
there is a material misstatement of this other
information, we are required to report that
fact. We have nothing to report based on these
responsibilities.
Responsibilities for the financial
statementsand the audit
Responsibilities of the directors for the
financial statements
As explained more fully in the Statement of
Directors’ responsibilities, the directors are
responsible for the preparation of the financial
statements that give a true and fair view in
accordance with IFRS Accounting Standards,
therequirements of Jersey law and for such
internal control as the directors determine
is necessary to enable the preparation of
financial statements that are free from material
misstatement, whether due to fraud or error.
In preparing the financial statements, the
directors are responsible for assessing the
company’s ability to continue as a going concern,
disclosing, as applicable, matters related to going
concern and using the going concern basis of
accounting unless the directors either intend to
liquidate the company or to cease operations, or
have no realistic alternative but to do so.
Financial statements
61
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Responsibilities for the financial
statementsand the audit continued
Auditor’s responsibilities for the audit
ofthe financial statements
Our objectives are to obtain reasonable
assurance about whether the financial
statements as a whole are free from material
misstatement, whether due to fraud or error,
and to issue an auditor’s report that includes our
opinion. Reasonable assurance is a high level of
assurance, but is not a guarantee that an audit
conducted in accordance with ISAs will always
detect a material misstatement when it exists.
Misstatements can arise from fraud or error
and are considered material if, individually or in
aggregate, they could reasonably be expected to
influence the economic decisions of users taken
on the basis of these financial statements.
Our audit testing might include testing complete
populations of certain transactions and balances,
possibly using data auditing techniques. However,
it typically involves selecting a limited number of
items for testing, rather than testing complete
populations. We will often seek to target particular
items for testing based on their size or risk
characteristics. In other cases, we will use audit
sampling to enable us to draw a conclusion about
the population from which the sample is selected.
As part of an audit in accordance with ISAs, we
exercise professional judgement and maintain
professional scepticism throughout the audit.
We also:
— Identify and assess the risks of material
misstatement of the financial statements,
whether due to fraud or error, design and
perform audit procedures responsive to
those risks, and obtain audit evidence that is
sufficient and appropriate to provide a basis
for our opinion. The risk of not detecting a
material misstatement resulting from fraud
is higher than for one resulting from error,
as fraud may involve collusion, forgery,
intentional omissions, misrepresentations, or
the override of internal control.
— Obtain an understanding of internal control
relevant to the audit in order to design audit
procedures that are appropriate in the
circumstances, but not for the purpose of
expressing an opinion on the effectiveness of
the company’s internal control.
— Evaluate the appropriateness of accounting
policies used and the reasonableness of
accounting estimates and related disclosures
made by the directors.
— Conclude on the appropriateness of the
directors’ use of the going concern basis of
accounting and, based on the audit evidence
obtained, whether a material uncertainty
exists related to events or conditions that
may cast significant doubt on the company’s
ability to continue as a going concern over
a period of at least twelve months from the
date of approval of the financial statements.
If we conclude that a material uncertainty
exists, we are required to draw attention in
our auditor’s report to the related disclosures
in the financial statements or, if such
disclosures are inadequate, to modify our
opinion. Ourconclusions are based on the
audit evidence obtained up to the date of our
auditor’s report.
— Evaluate the overall presentation, structure
and content of the financial statements,
including the disclosures, and whether the
financial statements represent the underlying
transactions and events in a manner that
achieves fair presentation.
We communicate with those charged with
governance regarding, among other matters,
the planned scope and timing of the audit and
significant audit findings, including any significant
deficiencies in internal control that we identify
during our audit.
We also provide those charged with governance
with a statement that we have complied with
relevant ethical requirements regarding
independence, and to communicate with
them all relationships and other matters that
may reasonably be thought to bear on our
independence, and where applicable, related
safeguards.
From the matters communicated with those
charged with governance, we determine those
matters that were of most significance in the
audit of the financial statements of the current
period and are therefore the key audit matters.
We describe these matters in our auditor’s
report unless law or regulation precludes
public disclosure about the matter or when, in
extremely rare circumstances, we determine
that a matter should not be communicated in
our report because the adverse consequences
of doing so would reasonably be expected to
outweigh the public interest benefits of such
communication.
Use of this report
This report, including the opinions, has been
prepared for and only for the members as a body
in accordance with Article 113A of the Companies
(Jersey) Law 1991 and for no other purpose.
We do not, in giving these opinions, accept or
assume responsibility for any other purpose or to
any other person to whom this report is shown
or into whose hands it may come save where
expressly agreed by our prior consent in writing.
Independent Auditor’s report continued
To the members of GCP Asset Backed Income Fund Limited
62
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Report on other legal and regulatory
requirements
Company Law exception reporting
Under the Companies (Jersey) Law 1991 we are
required to report to you if, in our opinion:
— we have not received all the information and
explanations we require for our audit;
— proper accounting records have not been
kept; or
— the financial statements are not in agreement
with the accounting records.
We have no exceptions to report arising from this
responsibility.
Corporate governance statement
The Listing Rules require us to review the
directors’ statements in relation to going
concern, longer‑term viability and that part of
the corporate governance statement relating to
the company’s compliance with the provisions of
the UK Corporate Governance Code specified
for our review. Our additional responsibilities
with respect to the corporate governance
statement as other information are described in
the Reporting on other information section of
this report.
The company has reported compliance against
the 2019 AIC Code of Corporate Governance
(the “Code”) which has been endorsed by the UK
Financial Reporting Council as being consistent
with the UK Corporate Governance Code for the
purposes of meeting the company’s obligations,
as an investment company, under the Listing
Rules of the FCA.
Based on the work undertaken as part of our
audit, we have concluded that each of the
following elements of the corporate governance
statement, included within the Strategic Report
section and the Governance section of the
Annual Report is materially consistent with the
financial statements and our knowledge obtained
during the audit, and we have nothing material to
add or draw attention to in relation to:
— The directors’ confirmation that they have
carried out a robust assessment of the
emerging and principal risks;
— The disclosures in the Annual Report
that describe those principal risks, what
procedures are in place to identify emerging
risks and an explanation of how these are
being managed or mitigated;
— The directors’ statement in the financial
statements about whether they considered it
appropriate to adopt the going concern basis
of accounting in preparing them, and their
identification of any material uncertainties
to the company’s ability to continue to do
so over a period of at least twelve months
from the date of approval of the financial
statements;
— The directors’ explanation as to their
assessment of the company’s prospects, the
period this assessment covers and why the
period is appropriate; and
— The directors’ statement as to whether
they have a reasonable expectation that the
company will be able to continue in operation
and meet its liabilities as they fall due over
the period of its assessment, including any
related disclosures drawing attention to any
necessary qualifications or assumptions.
Our review of the directors’ statement regarding
the longer‑term viability of the company was
substantially less in scope than an audit and only
consisted of making inquiries and considering the
directors’ process supporting their statements;
checking that the statements are in alignment
with the relevant provisions of the Code; and
considering whether the statement is consistent
with the financial statements and our knowledge
and understanding of the company and its
environment obtained in the course of the audit.
In addition, based on the work undertaken as part
of our audit, we have concluded that each of the
following elements of the corporate governance
statement is materially consistent with the
financial statements and our knowledge obtained
during the audit:
— The directors’ statement that they consider
the Annual Report, taken as a whole, is fair,
balanced and understandable, and provides
the information necessary for the members to
assess the company’s position, performance,
business model and strategy;
— The section of the Annual Report that
describes the review of effectiveness of risk
management and internal control systems;
and
— The section of the Annual Report describing
the work of the Audit and Risk Committee.
We have nothing to report in respect of our
responsibility to report when the directors’
statement relating to the company’s compliance
with the Code does not properly disclose a
departure from a relevant provision of the Code
specified under the Listing Rules for review by
the auditors.
Lisa McClure
For and on behalf of
PricewaterhouseCoopersCILLP
Chartered Accountants and Recognized Auditor
Jersey, Channel Islands
29 April 2025
Financial statements
63
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Statement of comprehensive income
For the year ended 31 December 2024
Notes
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Income
Loan note interest realised 3 22,811 31,747
Net loss on financial assets at fair value through profit or loss 3 (29,724) (7,396)
Net gain on derivative financial instruments 3 434 468
Net changes in fair value of financial assets and financial liabilities at fair value through profit or loss (6,479) 24,819
Other income 3 1,243 1,326
Deposit interest income 947 165
Total (loss)/income (4,289) 26,310
Expenses
Investment management fees 18 (2,690) (3,448)
Operating expenses 4 (2,750) (1,599)
Directors’ remuneration 6 (254) (259)
Total expenses (5,694) (5,306)
Total operating (loss)/profit before finance costs (9,983) 21,004
Finance costs
Finance expenses 7 (359) (2,740)
Total (loss)/profit and comprehensive income (10,342) 18,264
Basic and diluted earnings per share (pence) 10 (3.13) 4.27
All items in the above statement are derived from continuing operations.
The accompanying notes on pages 68 to 92 form an integral part of these financial statements.
64
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Statement of financial position
As at 31 December 2024
Notes
As at
31 December
2024
£’000
As at
31 December
2023
£’000
Assets
Cash and cash equivalents 13 4,145 30,936
Derivative financial instruments 17.1 83 107
Other receivables and prepayments 12 50 250
Financial assets at fair value through profit or loss 11 173,894 366,818
Total assets 178,172 398,111
Liabilities
Derivative financial instruments 17.1 — (5)
Other payables and accrued expenses 15 (1,798) (1,361)
Total liabilities (1,798) (1,366)
Net assets 176,374 396,745
Equity
Share capital 16 243,331 431,487
Retained losses (66,957) (34,742)
Total equity 176,374 396,745
Ordinary shares in issue (excluding treasury shares) 16 215,606,413 425,626,059
NAV per ordinary share (pence per share) 81.80 93.21
The financial statements were approved and authorised for issue by the Board of Directors on 29 April 2025 and signed on its behalf by:
Alex Ohlsson Philip Braun
Chairman Director
The accompanying notes on pages 68 to 92 form an integral part of these financial statements.
Financial statements
65
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Statement of changes in equity
For the year ended 31 December 2024
Notes
Share
capital
£’000
Retained
losses
£’000
Total
equity
£’000
Balance as at 1 January 2024 431,487 (34,742) 396,745
Total loss and comprehensive loss for the year — (10,342) (10,342)
Shares redeemed 16 (188,156) — (188,156)
Dividends paid 9 — (21,873) (21,873)
Balance as at 31 December 2024 243,331 (66,957) 176,374
Statement of changes in equity
For the year ended 31 December 2023
Notes
Share
capital
£’000
Retained
losses
£’000
Total
equity
£’000
Balance as at 1 January 2023 437,960 (25,960) 412,000
Total profit and comprehensive income for the year — 18,264 18,264
Share repurchases 16 (6,473) — (6,473)
Dividends paid 9 — (27,046) (27,046)
Balance as at 31 December 2023 431,487 (34,742) 396,745
The accompanying notes on pages 68 to 92 form an integral part of these financial statements.
66
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Statement of cash flows
For the year ended 31 December 2024
Notes
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Cash flows from operating activities
Total operating (loss)/profit before finance costs (9,983) 21,004
Adjustments for:
Net changes in fair value of financial assets and financial liabilities at fair value through
profitorloss 3 6,479 (24,819)
Net settlement of derivative financial instruments 3 453 353
Increase/(decrease) in other payables and accrued expenses 491 (150)
Decrease/(increase) in other receivables and prepayments 12 20 (4)
Total (2,540) (3,616)
Loan note interest realised 3 22,811 31,747
Investment in Subsidiary 11 (3,127) (32,655)
Capital repayments from Subsidiary 11 166,327 93,512
Net cash flow generated from operating activities 183,471 88,988
Cash flows from financing activities
Proceeds from revolving credit facilities 14 — 16,000
Repayment of revolving credit facilities 14 — (48,050)
Shares redeemed (188,156) —
Share repurchases 16 — (6,473)
Finance costs paid (233) (2,794)
Dividends paid 9 (21,873) (27,046)
Net cash flow used in financing activities (210,262) (68,363)
Net (decrease)/increase in cash and cash equivalents (26,791) 20,625
Cash and cash equivalents at beginning of the year 30,936 10,311
Cash and cash equivalents at end of the year 13 4,145 30,936
The accompanying notes on pages 68 to 92 form an integral part of these financial statements.
Financial statements
67
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Notes to the financial statements
For the year ended 31 December 2024
1. General information
The Company is a public closed‑ended
investment company incorporated on
7September 2015 and domiciled in Jersey,
with registration number 119412. The Company
is governed by the provisions of the Jersey
Company Law and the CIF Law.
The ordinary shares and C shares (when in issue)
of the Company are admitted to the Official List
of the FCA and are traded on the LSE.
The Company makes its investments through its
wholly owned Subsidiary by subscribing for the
Secured Loan Notes issued by the Subsidiary.
The Subsidiary subsequently on‑lends the funds
to borrowers.
At 31 December 2024, the Company had
one wholly owned Subsidiary, GABI UK
(31December2023: one), incorporated
in England and Wales on 23 October 2015
(registration number 9838893). GABI UK
has three subsidiaries (31 December 2023:
three): GABI Housing (registration number
10497254) incorporated in England and Wales on
25November 2016, GABI GS (registration number
10546087) incorporated in England and Wales on
4 January 2017 and GABI Housing 2 (registration
number 14372988) incorporated in England and
Wales on 23 September 2022. The Company,
GABIUK, GABI Housing, GABI GS and GABI
Housing 2 comprise the Group. The registered
office address for GABI UK, GABI Housing, GABI
Housing 2 and GABI GS is 24 Savile Row, London
W1S 2ES.
GABI GS was set up to hold shares as security
for loans issued to underlying borrowers where
required. Its purpose is to isolate any potential
liabilities that arise from holding shares as
security from the Company.
GABI Housing was set up for the sole purpose
of investing in five underlying properties and
the social income stream derived from these
properties by letting them out to specialist
housing associations.
GABI Housing 2 was set up to invest in a single,
unlevered, operational rental property and
benefit from the income stream derived from
thisasset.
Following the AGM in May 2024, the Company’s
investment objective changed to undertake a
managed wind‑down of the Company and realise
all existing assets in the Group’s portfolio in an
orderly manner.
The assets held by the Group will be realised
in anorderly manner, returning cash to
shareholders principally by undertaking
compulsory redemptions of ordinary shares in
such volumes and at such times as the Board
may, in its absolute discretion, determine,
having regard to the amount of cash available
for distribution and retaining sufficient working
capital for ongoing operations. Notwithstanding
this, returns of capital to shareholders may
take any other form as the Board may, in its
absolute discretion, consider appropriate.
TheBoard will endeavour to realise the Group’s
investments in a manner that achieves a balance
between maximising the value received from
those investments and making timely returns to
shareholders.
The Company may not make any new investments
save that:
— investments may be made to honour
commitments under existing contractual
arrangements or, with the Board’s prior
written approval, to preserve the value of any
existing investment; and
— cash held by the Company pending
distribution will be held in either cash or
cash equivalents for the purposes of cash
management.
Any amounts received by the Company during the
managed wind‑down of the Group’s assets will be
held by the Company as cash on deposit and/or
as cash equivalents, prior to returns being made
in cash to shareholders (net of provisions for the
Company’s costs and expenses).
2. Material accounting policy information
The principal accounting policies applied in the
preparation of these financial statements are set
out below and in the subsequent notes. These
policies, except for the changes discussed in this
note, have been consistently applied throughout
the years they have been presented.
2.1 Basis of preparation
The annual report and financial statements
for the year ended 31 December 2024 have
been prepared on a going concern basis and in
accordance with IFRS Accounting Standards,
and as applied in accordance with the Jersey
Company Law.
In accordance with the investment entities
exemption contained in IFRS 10 Consolidated
Financial Statements, the Directors have
determined that the Company continues to
meet the definition of an investment entity
and as a result, the Company is not required
to prepare consolidated financial statements.
The Company’s investment in its Subsidiary is
measured at fair value and treated as a financial
asset through profit or loss in the statement of
financial position (refer to note 2.2(b)).
New standards, amendments and interpretations
adopted in the year
In the current year, the Company has applied
amendments to IFRS Accounting Standards.
These include annual improvements to IFRS,
changes in standards, legislative and regulatory
amendments, changes in disclosure and
presentation requirements. Thisincorporated:
— Non‑current Liabilities with Covenants –
Amendments to IAS 1 and Classification
of Liabilities as Current or Non‑current –
Amendments to IAS 1; and
— Supplier Finance Arrangements –
Amendmentsto IAS 7 and IFRS 7.
The adoption of the changes to accounting
standards has had no material impact on these
or prior years’ financial statements. Amendments
to IFRS that have applied from 1January2025 are:
— Lack of Exchangeability – Amendments to
IAS21.
Amendments that will apply from 1 January 2027
are:
— Presentation and Disclosure in Financial
Statements (introduction of IFRS 18).
68
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Under current IFRS Accounting Standards,
companies use different formats to present
their results, making it difficult for investors
to compare financial performance across
companies.
IFRS 18 promotes a more structured income
statement. In particular, it introduces a newly
defined ‘operating profit’ subtotal and a
requirement for all income and expenses to be
allocated between three new distinct categories
based on a company’s main business activities.
The Directors are still assessing the impact
of IFRS 18, but at present do not anticipate
it to have a material impact on the financial
statements. Other than those detailed above,
there are no new IFRS or IFRIC interpretations
that are issued but not effective that are
expected to have a material impact on the
Company’s financial statements.
Functional and presentation currency
The primary objective of the Company is
to generate returns in Pound Sterling, its
capital‑raising currency.
The Company’s performance is evaluated in
Pound Sterling. Therefore, the Directors consider
Pound Sterling as the currency that most
faithfully represents the economic effects of the
underlying transactions, events and conditions.
The financial statements are presented in Pound
Sterling and all values have been rounded to the
nearest thousand pounds (£’000), except where
otherwise indicated.
Going concern
The financial statements have been prepared
on a going concern basis. The Directors have
made an assessment of the Company’s ability to
continue as a going concern and are satisfied
that the Company has adequate resources to
continue in operational existence for a period of
at least twelve months from the date when these
financial statements were approved.
Liquidity position
At 31 December 2024, the Company held cash
and cash equivalents of £4.1 million. In the
statement of financial position, the Company had
total current liabilities of £1.8 million, consisting
of other payables and accrued expenses.
TheCompany’s net current asset position at
31December 2024 was £3.1 million.
The Directors have assessed the Company’s
ability to continue as a going concern, having
considered the liquidity of the Group’s
investment portfolio and the Company’s financial
position in respect of its level of cash as well as
its forecasted future cash flows. The Company is
a closed‑ended investment company, with assets
that are not required to be liquidated to meet
day‑to‑day redemptions.
After making enquiries of the Investment
Manager on the maturity profile of the
investment portfolio and the forecast cash
flows, and having reassessed the principal risks
in light of the recent changes to the Company’s
investment objective and strategy, the Directors
are satisfied that the Company has adequate
resources to continue in operational existence
for a period of at least twelve months from the
date on which the annual report and financial
statements are approved. The Board will seek to
implement the Orderly Realisation in a manner
that maximises shareholder value.
Based on the above assessment, the Directors
have concluded that the financial statements
of the Company should continue to be prepared
on a going concern basis and the financial
statements have been prepared accordingly.
Viability assessment
In addition to a going concern statement,
theDirectors have undertaken a longer‑term
assessment of the Company.
The Investment Manager has prepared cash
flow forecasts for two scenarios that account
for the Orderly Realisation process. The cash
flow forecasts and accompanying stress tests
prepared by the Investment Manager were
reviewed and challenged by the Directors.
The Investment Manager’s stress tests assess
the impact of changes in the valuation of the
underlying investment portfolio and/or income
and consider the impact of plausible downside
scenarios, details of which are given on page 36.
2.2 Significant accounting estimates
andjudgements
The preparation of financial statements, in
accordance with IFRS Accounting Standards,
requires the Directors to make estimates and
judgements that affect the reported amounts
recognised in the financial statements. However,
uncertainty about these assumptions and
judgements could result in outcomes that require
a material adjustment to the carrying amount of
the asset or liability in the future. There are no
changes in estimates reported in prior financial
statements that require disclosure in these
financial statements.
(a) Critical accounting estimates
andassumptions
Fair value of instruments not quoted in
anactivemarket
The Company’s investments are made by
subscribing for the Secured Loan Notes issued
by the Subsidiary. The Subsidiary’s assets consist
of investments held by the Subsidiary, which
represent secured loan facilities issued to the
Project Companies. The Subsidiary’s assets are
not quoted in an active market; therefore, the fair
value is determined using a discounted cash flow
methodology where applicable (excluding the
loans held at net realisable value which are not
valued on a discounted cash flow basis), adjusted
as appropriate for market, credit and liquidity risk
factors (refer to note 17.9 for further information).
This requires assumptions to be made regarding
future cash flows and the discount rate applied
to these cash flows. The Subsidiary’s investments
are valued by an independent Valuation Agent on
a semi‑annual basis. Investments which may be
subject to discount rate changes are valued on a
quarterly basis.
The models used by the Valuation Agent use
observable data to the extent practicable.
However, areas such as credit risk (both own
and counterparty), volatilities and correlations
require estimates to be made. Changes
in assumptions about these factors could
affect the reported fair value of the financial
instruments.
Financial statements
69
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Notes to the financial statements continued
For the year ended 31 December 2024
2. Material accounting policy information
continued
2.2 Significant accounting estimates
andjudgements continued
(a) Critical accounting estimates
andassumptions continued
Fair value of instruments not quoted in
anactivemarket continued
The determination of what constitutes
‘observable’ requires significant judgement by
the Company. The Company considers observable
data to be market data that is readily available,
regularly distributed or updated, reliable and
verifiable, not proprietary, and provided by
independent sources that are actively involved in
the relevant market.
The investment in the Subsidiary is held at
fair value through profit or loss, with income
distributions and interest payments from the
Subsidiary included as part of the fair value
movement calculation, together with any
unrealised movement in the fair value of the
holding in the Subsidiary.
The value of the investment in the Subsidiary
is based on the aggregate of the NAV of the
Subsidiary and the value of the Secured Loan
Notes issued by the Subsidiary. Refer to note 11
for further details.
Valuation of assets held at net realisable value
At 31 December 2024, seven loans were held at
net realisable value. The decision to value certain
loans using the net realisable value approach
instead of discounted cash flow (“DCF”) reflects
the nature of these assets and their realisation
strategy. This method is more appropriate
where recoveries depend on structured capital
stacks, intercreditor agreements and asset sales
rather than predictable cash flows. It better
captures senior debt impact, disposal costs
and market‑driven outcomes, particularly in
distressed scenarios. The methodology has been
reviewed and confirmed by the independent third
party Valuation Agent.
(b) Critical judgements
Assessment as an investment entity
The Directors have concluded that the Company
continues to meet the definition of an investment
entity.
Entities that meet the definition of an investment
entity within IFRS 10 Consolidated Financial
Statements are required to measure their
subsidiaries at fair value through profit or loss
rather than consolidate.
The criteria which define an investment entity are
as follows:
— an entity that obtains funds from one or more
investors with the purpose of providing those
investors with investment services;
— an entity that commits to its investors that its
business purpose is to invest funds solely for
returns from capital appreciation, investment
income or both; and
— an entity that measures and evaluates
the performance of substantially all of its
investments on a fair value basis.
The Directors have concluded that the Company
continues to meet the characteristics of an
investment entity in that it:
— raises funds from investors through the issue
of equity, has more than one investor and its
investors are not related parties other than
those disclosed in note 18;
— invests in a portfolio of investments held by
the Subsidiary for the purpose of generating
risk‑adjusted returns through regular
distributions and capital appreciation; and
— the Company’s investments are held at
fair value through profit or loss with the
performance of its portfolio evaluated on a
fair value basis.
Accordingly, the Company’s Subsidiary is not
consolidated, but rather the investment in the
Subsidiary is accounted for at fair value through
profit or loss. The value of the investment in the
Subsidiary is based on the aggregate of the NAV
of the Subsidiary and the value of the Secured
Loan Notes issued by the Subsidiary.
(c) Segmental information
The Directors view the operations of the
Company as one operating segment, being the
investment portfolio of asset backed loans held
through the Subsidiary, which is a registered UK
company. All significant operating decisions made
by the Board, as the chief operating decision
maker, are based upon analysis of the Subsidiary’s
investments as one segment. Thefinancial results
from this segment are equivalent to the financial
results of the Company as a whole, which are
evaluated regularly by the Directors.
Significant shareholders are disclosed in the
Directors’ report on page 55.
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3. Operating income
The table below analyses the operating income derived from the Company’s financial assets at fair value through profit or loss:
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Loan note interest realised 22,811 31,747
Unrealised loss on financial assets at fair value through profit or loss:
Debt – Secured Loan Notes up to £1,000,000,000 (24,995) (4,257)
Equity – representing one ordinary share in the Subsidiary (952) (48)
Realised loss on financial assets at fair value through profit or loss:
Debt – Secured Loan Notes up to £1,000,000,000 (3,777)
1
(3,091)
Net loss on financial assets at fair value through profit or loss (29,724) (7,396)
Gain on derivative financial instruments:
Unrealised (loss)/gain on forward foreign exchange contracts (19) 115
Realised gain on forward foreign exchange contracts 513 680
Realised loss on forward foreign exchange contracts (60) (327)
Net gain on derivative financial instruments 434 468
Net changes in fair value of financial assets and financial liabilities at fair value through profit or loss (6,479) 24,819
The table below analyses the other income earned by the Company by type:
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Arrangement fee income 499 109
Early repayment fee income 548 1,177
Sundry income 156 40
Unrealised gains on foreign exchange 40 —
Total 1,243 1,326
1. Comprises write‑downs in respect of a multi‑use community facility and a student accommodation asset upon realisation.
Financial statements
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Notes to the financial statements continued
For the year ended 31 December 2024
3. Operating income continued
Accounting policy
Interest income and interest expense other than interest received on financial assets held at fair value through profit or loss are recognised on an
accruals basis in the statement of comprehensive income.
Net movements in fair value of financial assets and financial liabilities at fair value through profit or loss include changes in the fair value of the
investment in the Subsidiary held at fair value through profit or loss, loan note interest realised, principal indexation applied to certain loans and net gain
or loss on forward foreign exchange contracts.
Principal indexation is applied to certain loan notes where applicable. The indexation is a contractually allowable inflationary adjustment to loan principal
calculated where permitted by a predefined mechanism in a loan agreement. The effect of the adjustment is to increase or decrease the fair value of
those loan notes in line with the indexation factor which takes account of the rate of inflation against a stipulated inflation threshold of each relevant
loan. The fair values of those loan notes are subsequently adjusted accordingly.
Arrangement fee income comprises fees relating to the issue, set up and amendment of Secured Loan Notes. Historically, the Investment Manager, at
its discretion, has been entitled to an arrangement fee of up to 1% of the value of each investment made by the Group. The fees have been generally
covered by the borrowers, and not the Company. To the extent any arrangement fee negotiated by the Investment Manager with a borrower exceeded
1%, the benefit of any such excess was paid to the Company. The arrangement fee income has historically been recognised in the financial statements
when contractual provisions are met and the amounts become due. In accordance with the terms of the side letter approved at the EGM in May 2024,
the arrangement fees have been replaced by an incentive fee, further details can be found on page 91.
Commitment fees are accounted for on an accruals basis and are paid by the borrowers.
Early repayment fee income is income related to the redemption of loans before maturity and is recognised in the financial statements when contractual
provisions are met and the amounts become due.
The Company holds derivative financial instruments comprising forward foreign exchange contracts to hedge its exposure to movements in foreign
currency exchange rates on loans denominated in currency other than Pound Sterling. It is not the Company’s policy to trade in derivative financial
instruments.
Forward foreign exchange contracts are stated at fair value, being the difference between the agreed price of selling or buying the financial instrument
on a future date and the price quoted for selling or buying the same or similar instruments on the statement of financial position date. The Company
does not apply hedge accounting and consequently all gains or losses in fair value are recognised in the statement of comprehensive income.
4. Operating expenses
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Corporate administration and Depositary fees 462 610
Registrar fees
1
103 46
Audit fees 256 170
Legal and professional fees
1
501 157
Valuation Agent fees 68 139
Other
1
1,360 477
Total 2,750 1,599
1. The increase from 31 December 2023 largely relates to the fees associated with the strategic review.
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Annual report and financial statements 2024
Key service providers other than the Investment Manager (refer to note 18 for disclosures of transactions with the Investment Manager).
Administrator and Company Secretary
The Company has appointed Apex Financial Services (Alternative Funds) Limited as Administrator and Company Secretary. Fund accounting, administration
and company secretarial services are provided to the Company pursuant to an agreement dated 28 September 2015. The Administrator outsources the
provision of client accounting services to Apex Fund Services LLP. All Directors have access to the Company Secretary, who provides guidance to the
Board, through the Chairman, on governance and administrative matters. The fee for the provision of administration and company secretarial services
during the year was £383,000 (31 December 2023: £489,000), of which £49,000 remains payable at year end (31 December 2023: £108,000).
Depositary
Depositary services are provided to the Company by Apex Financial Services (Corporate) Limited pursuant to an agreement dated 28 September 2015.
The fee for the provision of these services during the year was £79,000 (31 December 2023: £121,000), of which £13,000 remains payable at year end
(31December 2023: £30,000).
Accounting policy
Operating expenses and investment management fees in the statement of comprehensive income are recognised on an accrual basis.
5. Auditor’s remuneration
The following table summarises the remuneration paid to the Auditor for audit and non‑audit‑related services:
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Audit fees
Annual audit of the Company 256 170
Audit‑related services
Review of the half‑yearly report 75 36
Total 331 206
6. Directors’ remuneration
The Directors of the Company were remunerated as follows:
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Alex Ohlsson 83 68
Colin Huelin
1
25 64
Joanna Dentskevich
1
25 64
Marykay Fuller 74 58
Philip Braun
1
42 —
Total 249 254
Directors’ expenses 5 5
Total 254 259
Full details of the Directors’ remuneration policy can be found in the Directors’ remuneration report on pages 52 and 53.
1. On 20 May 2024, Joanna Dentskevich and Colin Huelin resigned from the Board and Philip Braun was appointed.
Financial statements
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Annual report and financial statements 2024
Notes to the financial statements continued
For the year ended 31 December 2024
7. Finance expenses
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Arrangement fees relating to the RCF 182 247
Commitment fees relating to the RCF 177 111
Interest expense relating to the RCF — 2,382
Total 359 2,740
Accounting policy
Finance expenses in the statement of comprehensive income comprise loan arrangement and commitment fees which are accounted for on an accrual
basis, along with interest accrued on the RCF (refer to note 14) incurred in connection with the borrowing of funds. Arrangement fees are amortised
over the life of the RCF.
8. Taxation
Profits arising in the Company for the year ended 31 December 2024 are subject to tax at the standard rate of 0% (31 December 2023: 0%) in accordance
with the Income Tax (Jersey) Law 1961, as amended.
9. Dividends
Quarter ended Dividend
Pence
per share
Year ended
31 December
2024
£’000
Year ended
31 December
2023
£’000
Current year dividends
31 December 2024 2024 fourth interim dividend 1.58125 —
1
—
30 September 2024 2024 third interim dividend 1.58125 4,206 —
30 June 2024 2024 second interim dividend 1.58125 4,206 —
31 March 2024 2024 first interim dividend 1.58125 6,730 —
Total 6.32500 15,142 —
Prior year dividends
31 December 2023 2023 fourth interim dividend 1.58125 6,731
1
—
1
30 September 2023 2023 third interim dividend 1.58125 — 6,731
30 June 2023 2023 second interim dividend 1.58125 — 6,730
31 March 2023 2023 first interim dividend 1.58125 — 6,765
Total 6.32500 6,731 20,226
31 December 2022 2022 fourth interim dividend 1.58125 — 6,820
Dividends in statement of changes in equity and cash flows 21,873 27,046
On 12 February 2025, the Company announced a fourth interim dividend of 1.58125 pence per share amounting to £3.4 million which was paid on
21 March2025 to ordinary shareholders on the register at 21 February 2025.
1. The fourth interim dividend was declared after the year end and is therefore not accrued for as a provision in the financial statements.
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Accounting policy
In accordance with the Company’s Articles, in respect of the ordinary shares, the Company will distribute the income it receives to the fullest extent
that is deemed appropriate by the Directors. Dividends due to the Company’s shareholders are recognised as a liability in the period in which they are
paid or approved by the Directors and are reflected in the statement of changes in equity. Dividends declared and approved by the Company after the
statement of financial position date have not been recognised as a liability of the Company at the statement of financial position date.
The Company pays dividends on a quarterly basis with dividends typically declared in January, April, July and October and paid in or around February,
May, August and November in each financial year. It is the Board’s current intention to maintain the Company’s existing dividend of 6.325 pence per
annum whilst the Company remains substantially invested, for as long as is practicable¹. The Board is considering all options to return capital to investors
by way of dividends, capital returns or buybacks, as it deems most appropriate from time to time.
10. Earnings per share
Basic EPS is calculated by dividing profit for the year attributable to ordinary shareholders of the Company by the weighted average number of ordinary
shares in issue during the year, excluding shares held in treasury. Diluted EPS is calculated by dividing the profit attributable to ordinary shareholders by
the diluted weighted average number of ordinary shares, excluding shares held in treasury. Information on the calculation of Adjusted EPS is detailed on
page 94.
Loss/(earnings)
£’000
Weighted average
number of
ordinary shares
Pence
per share
Year ended 31 December 2024
Basic EPS (10,342) 330,189,880 (3.13)
Diluted EPS (10,342) 330,189,880 (3.13)
Adjusted EPS
2
16,184 330,189,880 4.90
Earnings
£’000
Weighted average
number of
ordinary shares
Pence
per share
Year ended 31 December 2023
Basic EPS 18,264 427,242,221 4.27
Diluted EPS 18,264 427,242,221 4.27
Adjusted EPS
2
30,025 427,242,221 7.02
1. This is a target only and does not constitute a profit forecast.
2. Alternative performance measure – refer to pages 94 to 96 for definitions and calculation methodology.
Financial statements
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Notes to the financial statements continued
For the year ended 31 December 2024
11. Financial assets at fair value through profit or loss: investment in Subsidiary
The Company’s financial assets at fair value through profit or loss comprise its investment in the Subsidiary, which represents amounts advanced to finance
the Group’s investment portfolio in the form of Secured Loan Notes issued by the Subsidiary to the Company and equity. The Company’s investment in the
Subsidiary at 31 December 2024 comprised:
Debt – Secured Loan Notes up to £1,000,000,000
31 December
2024
£’000
31 December
2023
£’000
Opening balance 362,779 430,984
Investment in Subsidiary 3,127 32,655
Capital repayments from Subsidiary (166,327) (93,512)
Realised loss on financial assets at fair value through profit or loss (3,777)¹ (3,091)¹
Unrealised (loss)/profit on financial assets and liabilities at fair value through profit or loss:
Unrealised valuation loss (22,749) (8,671)
Unrealised foreign exchange loss (363) (317)
Other unrealised movements on investments (1,883)
2
4,731
Total unrealised loss on investments at fair value through profit or loss (24,995) (4,257)
Total 170,807 362,779
Equity – representing one ordinary share in the Subsidiary
31 December
2024
£’000
31 December
2023
£’000
Opening balance 4,039 4,087
Unrealised loss on investment at fair value through profit or loss (952) (48)
Total 3,087 4,039
Financial assets at fair value through profit or loss 173,894 366,818
The above represents a 100% interest in the Subsidiary at year end 31 December 2024 (31 December 2023: 100%).
Secured Loan Notes
The Subsidiary has issued a loan note instrument to the Company for a programme of up to £1.0 billion variable funding notes limited to the cash available
bythe Company. Each series of loan notes issued has a maximum nominal amount, which is fixed at the date of issue, as well as a base amount and a
subscribed amount.
Accounting policy
The Company classifies its investment in the Subsidiary as financial assets at fair value through profit or loss in accordance with IFRS 9 Financial
Instruments as set out on page 77.
1. Comprises write‑downs in respect of a multi‑use community facility and a student accommodation asset upon realisation.
2. Attributable to the timing of the debt service payments and principal indexation of £0.3 million (31 December 2023: £0.4 million) applied to certain loans.
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Annual report and financial statements 2024
Financial assets at fair value through profit or loss
The category which includes financial assets at fair value through profit or loss consists of financial instruments that have been designated at fair value
through profit or loss upon initial recognition. These financial assets are designated on the basis that they are part of a group of financial assets which are
managed and have their performance evaluated on a fair value basis, in accordance with the risk management and investment strategies of the Company.
Upon initial recognition, the Company designates the investment in the Subsidiary as part of ‘financial assets at fair value through profit or loss’.
Theinvestment in the Subsidiary is included initially at fair value, which is taken to be its cost (excluding expenses incidental to the acquisition which are
written off in the statement of comprehensive income).
All financial assets for which fair value is measured or disclosed in the financial statements are categorised within the fair value hierarchy.
Financial information about the financial assets of the Company is provided by the Investment Manager to the Directors with the valuation of the portfolio
being carried out by the independent Valuation Agent.
The Company recognises a financial asset when, and only when, it becomes party to the contractual provisions of the instrument. Purchases or sales of
financial assets that require delivery of assets within the timeframe generally established by regulation or convention in the marketplace are recognised on
the trade date, i.e. the date that the Company commits to purchase or sell the asset.
A financial asset (or, where applicable, part of a financial asset or part of a group of similar financial assets) is derecognised when:
— the rights to receive cash flows from the asset have expired; or
— the Company has transferred its rights to receive cash flows from the asset or has assumed an obligation to pay the received cash flows in full without
material delay to a third party under a pass‑through arrangement; and
— either (a) the Company has transferred substantially all the risks and rewards of the asset, or (b) the Company has neither transferred nor retained
substantially all the risks and rewards of the asset but has transferred control of the asset.
When the Company transfers its rights to receive cash flows from an asset or has entered into a pass‑through arrangement, and has neither transferred
nor retained substantially all the risks and rewards of the asset nor transferred control of the asset, the asset is recognised to the extent of the Company’s
continuing involvement in the asset.
After initial measurement, the Company measures financial instruments classified at fair value through profit or loss at fair value. Subsequent changes in
the fair value of financial instruments are recorded in the statement of comprehensive income.
Fair value is the price that would be received to sell an asset in an orderly transaction between market participants at the measurement date. For all other
financial instruments not traded in an active market, the fair value is determined by using appropriate valuation techniques. Valuation techniques used by
the independent Valuation Agent include using recent arm’s length market transactions, referenced to appropriate current market data, and discounted
cash flow analysis, at all times making as much use of available and supportable market data as possible.
An analysis of fair value of financial instruments and further details as to how they are measured is provided in note 17.9.
12. Other receivables and prepayments
31 December
2024
£’000
31 December
2023
£’000
Prepayments 50 70
Unamortised arrangement fee — 180
Total 50 250
Accounting policy
Other receivables and prepayments are recognised and carried at the lower of their original invoiced value and recoverable amount or, where the time
value of money is material, at amortised cost. The Company recognises a loss allowance for expected credit loss on other receivables where necessary.
Financial statements
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Notes to the financial statements continued
For the year ended 31 December 2024
13. Cash and cash equivalents
31 December
2024
£’000
31 December
2023
£’000
Cash and cash equivalents 4,145 30,936
Total 4,145 30,936
Accounting policy
Cash comprises cash in hand and demand deposits. Cash equivalents are short term with original maturities of three months or less and highly liquid
investments that are readily convertible to known amounts of cash and which are subject to an insignificant risk of changes in value.
14. Revolving credit facilities
31 December
2024
£’000
31 December
2023
£’000
Opening balance — 32,050
Proceeds from amounts drawn on the RCF — 16,000
Repayment of amounts drawn on the RCF — (48,050)
RCF drawn at the year end — —
Loan arrangement fees unamortised — —
Total — —
Following the change to the Company’s investment objective, the decision was taken by the Board to not renew the RCF after the previous facility matured
on 22 August 2024.
A total of £182,000 (31 December 2023: £247,000) of costs were amortised as loan arrangement fees during the year and charged through the statement
of comprehensive income, refer to note 7.
The unamortised arrangement fee was net against the outstanding RCF balance in the prior year end. However, due to the RCF being repaid in full during
the current year.
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Annual report and financial statements 2024
Leverage
For the purposes of the UK AIFM Regime, leverage is any method which increases the Company’s exposure, including the borrowing of cash and the
use of derivatives. It is expressed as a ratio between the Company’s exposure and its NAV and is calculated under the gross and commitment methods,
inaccordance with the UK AIFM Regime.
The Company is required to state its maximum and actual leverage levels, calculated as prescribed by the UK AIFM Regime, at 31 December 2024. Figures
arebelow:
Leverage exposure
Maximum
limit
31 December
2024
Actual
exposure
31 December
2023
Actual
exposure
Gross method 1.25 1.02 0.96
Commitment method 1.25 1.01 1.00
The leverage figures above represent leverage calculated under the UK AIFM Regime methodology as follows:
Leverage exposure
31 December
2024
Gross
£’000
31 December
2024
Commitment
£’000
31 December
2023
Gross
£’000
31 December
2023
Commitment
£’000
Investments at fair value through profit or loss 173,894 173,894 366,818 366,818
Cash and cash equivalents — 4,145 — 30,936
Derivative financial instruments
1
5,647 — 12,130 —
Total exposure under the UK AIFM Regime 179,541 178,039 378,948 397,754
Net assets 176,374 176,374 396,745 396,745
Leverage ratio 1.02 1.01 0.96 1.00
The Company’s leverage limit under the UK AIFM Regime is 1.25, which equates to a gearing limit of 25% of NAV. The Company has maintained adequate
headroom against the limit throughout the year.
15. Other payables and accrued expenses
31 December
2024
£’000
31 December
2023
£’000
Accruals 333 473
Loan commitment fee accrued — 56
Investment management fees 777 832
Investment Manager incentive fee provision² 688 —
Total 1,798 1,361
Accounting policy
Other payables and accrued expenses are recognised initially at fair value and subsequently stated at amortised cost using the effective interest
method where appropriate.
1. Equivalent position in the underlying assets of derivative financial instruments using the conversion methodologies set out in the UK AIFM Regime.
2. Refer to note 18 for further information.
Financial statements
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Notes to the financial statements continued
For the year ended 31 December 2024
16. Authorised and issued share capital
31 December 2024 31 December 2023
Share capital
Number
of shares £’000
Number
of shares £’000
Ordinary shares issued at no par value and fully paid
Shares in issue at beginning of the year 442,033,518 444,414 442,033,518 444,414
Shares redeemed in the year (210,019,646) (188,156) — —
Total shares in issue 232,013,872 256,258 442,033,518 444,414
Treasury shares
Shares repurchased and held in treasury at beginning of the year (16,407,459) (12,927) (7,882,459) (6,454)
Shares cancelled during the year 16,407,459 12,927 — —
Shares repurchased in the year — — (8,525,000) (6,473)
Total shares repurchased and held in treasury — — (16,407,459) (12,927)
Total ordinary share capital excluding treasury shares 215,606,413 243,331 425,626,059 431,487
In May 2024, the Company adopted revised Articles in order to permit the redemption of some or all of the ordinary shares at the sole discretion of the
Directors and authorised the issue of one deferred share. The Company’s share capital is represented by no par value ordinary shares and one deferred
share.
The ordinary shares carry the right to dividends out of the profits available for distribution as determined by the Board and participation in the profits
or assets of the Company, on a winding‑up of the Company or a return of capital. Each holder of an ordinary share is entitled to attend meetings of
shareholders and, on a poll, to one vote for each share held.
The deferred share does not carry the right to dividends out of the profits available for distribution as determined by the Board or participation in the
profits or assets of the Company, on a winding‑up of the Company or a return of capital, unless there are no ordinary shares in issue, in which case the
deferred share will carry such rights.
The holder of a deferred share is entitled to attend meetings of shareholders but not to vote at any such meetings, unless there are no ordinary shares in
issue, in which case the holder of the deferred share will carry the right to vote.
Accounting policy
Upon issuance of equity shares, the consideration received is included in equity.
Transaction costs incurred by the Company in issuing, acquiring, redeeming or reselling its own equity instruments are accounted for as a deduction
from equity to the extent that they are incremental costs directly attributable to the equity transaction that otherwise would have been avoided.
No gain or loss is recognised in the statement of comprehensive income in respect of the purchase, sale, issuance or cancellation of the Company’s own
equity instruments.
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Annual report and financial statements 2024
17. Financial instruments
The table below sets out the carrying amounts of the Company’s financial assets and financial liabilities into categories of financial instruments.
31 December
2024
£’000
31 December
2023
£’000
Financial assets
Cash and cash equivalents 4,145 30,936
Total financial assets at amortised cost
1
4,145 30,936
Derivative financial instruments 83 107
Financial assets at fair value through profit or loss 173,894 366,818
Total financial assets at fair value through profit or loss 173,977 366,925
Total financial assets 178,122 397,861
Financial liabilities
Derivative financial instruments — (5)
Other payables and accrued expenses (1,798) (1,361)
Financial liabilities at amortised cost
1
(1,798) (1,366)
Total financial liabilities (1,798) (1,366)
1. The carrying value of the financial assets and liabilities stated at amortised cost approximates their fair value.
17.1 Derivative financial instruments
Derivative financial assets and liabilities comprise forward foreign exchange contracts for the purpose of hedging foreign currency exposure of the
Company to Euro and US Dollar denominated loan investments made by the Subsidiary. The derivatives represent 3.3% of the portfolio by value at the year
end (31 December 2023: 3.3%) based on the principal amounts. The Company intends to utilise the forward foreign exchange contracts on a rolling basis,
for the term of the investments.
The table below sets out the forward foreign exchange contracts held by the Company at year end:
31 December 2024 Maturity
Principal
amount
Hedged
amount
Fair value £’000
Financial
assets
Financial
liabilities
Contract EUR/GBP 8 January 2025 (£5,729,525) €6,823,291 83 —
Total (£5,729,525) €6,823,291 83 —
The Company’s forward foreign exchange contract shown in the table above matured post year end and was replaced on the same terms as the
existingcontract.
Financial statements
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Notes to the financial statements continued
For the year ended 31 December 2024
17. Financial instruments continued
17.1 Derivative financial instruments continued
31 December 2023 Maturity
Principal
amount
Hedged
amount
Fair value £’000
Financial
assets
Financial
liabilities
Contract EUR/GBP 4 January 2024 (£4,883,097) €5,620,445 — (2)
Contract EUR/GBP 4 January 2024 (£1,980,344) €2,279,376 — (1)
Contract EUR/GBP 4 January 2024 (£1,943,495) €2,236,963 — (1)
Contract EUR/GBP 22 March 2024 (£158,702) €182,666 — —
Contract EUR/GBP 4 January 2024 (£1,141,853) €1,300,000 — (1)
Total EUR/GBP (£10,107,491) €11,619,450 — (5)
Contract USD/GBP 4 January 2024 (£2,167,111) $2,626,105 107 —
Total USD/GBP (£2,167,111) $2,626,105 107 —
Total (£12,274,602) 107 (5)
Information on the forward foreign exchange contracts executed post year end can be found in note 19.
Accounting policy
Recognition of derivative financial assets and liabilities takes place when the hedging contracts are entered into. They are initially recognised and
subsequently measured at fair value; transaction costs, where applicable, are included directly in finance costs. The Company does not apply hedge
accounting and consequently all gains or losses are recognised in the statement of comprehensive income in the net change in fair value of financial
assets and financial liabilities through profit or loss.
17.2 Capital management
The Company’s capital is represented by share capital comprising issued ordinary share capital and its credit facilities, as detailed in notes 16 and 14
respectively.
The Company may borrow up to 25% of its NAV at any such time borrowings are drawn down. Refer to note 14 for further information.
17.3 Financial risk management objectives
The Company has an investment policy and strategy that sets out the Company’s overall investment strategy and general risk management philosophy
and has established processes to monitor and control these in a timely and accurate manner. These guidelines are subject to regular operational reviews
undertaken by the Investment Manager to ensure the Company’s policies are adhered to as it is the Investment Manager’s duty to identify and assist
withthe management of risk. The Investment Manager reports regularly to the Directors who have ultimate responsibility for the overall risk management
approach.
The Directors and the Investment Manager ensure that all investment activity is performed in accordance with investment guidelines. The Company’s
investment activities expose it to various types of risks that are associated with the financial instruments and markets in which it invests. Risk is inherent
to the Company’s activities and is managed through a process of ongoing identification, measurement and monitoring. The financial risks to which the
Company is exposed include market risk (which includes interest rate risk), credit risk, currency risk and liquidity risk.
As explained in notes 11 and 17, the Company’s financial assets and liabilities at fair value through profit or loss comprise the investment in the Subsidiary
and derivatives used for the purpose of hedging foreign currency exposure. The Subsidiary is a holding vehicle that exists solely to hold the Company’s
investments and, therefore, exposure to market risk, interest rate risk, credit risk, liquidity risk and credit and counterparty risk are highly dependent on
the performance of the Subsidiary’s investments.
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Annual report and financial statements 2024
17.3 Financial risk management objectives continued
Geopolitical and market uncertainties
The Board and the Investment Manager have considered the likely impacts of international and economic uncertainties on the Company, its operations and
the investment portfolio. These include, but are not limited to, the war in Ukraine, growth concerns in the UK following the Labour Government’s Autumn
Budget, uncertainty over international trade following the implementation of tariffs in the US, and the steep decline in global stock markets following
President Trump’s economic policies. However, the Company is predominantly invested in the UK and as such, it has not been directly affected by US tariffs.
The Directors understand the effect the tariffs have had, and continue to have, on global stock markets, and it therefore remains a key area of monitoring
for the Investment Manager.
Climate risk
The Investment Manager has carried out a climate risk assessment for each underlying portfolio asset to assess the actual and potential impacts of
climate‑related risks and opportunities across the portfolio. The analysis considered both physical and transition risks for each asset. The data collated
was based upon publicly available data on flood risk and EPC ratings, supplemented by inputs from the Investment Manager’s portfolio management team
and its investment management team. Based on the climate risk analysis undertaken, the Investment Manager does not currently propose to make any
changes to financial forecasts due to climate risk.
17.4 Market risk
The value of the investment in the Subsidiary is based on the aggregate of the NAV of the Subsidiary and the value of the Secured Loan Notes issued by the
Subsidiary to the Company. The key driver of the Subsidiary’s NAV is the valuation of its portfolio of secured loan facilities issued to the Project Companies.
There is a risk that market movements in interest rates, credit markets, exchange rates and observable yields may decrease or increase the value of
the Subsidiary’s assets without regard to the assets’ underlying performance. The Subsidiary’s portfolio of assets is held at fair value, and valued on a
semi‑annual basis by the independent Valuation Agent. The Company’s assets are stable with predictable cash flows and are not exchange traded.
In assessing the expected future cash flows from each investment, the independent Valuation Agent considers the movements in comparable credit
markets and publicly available information around each project.
The valuation principles used are based on a discounted cash flow methodology (excluding the loans held at net realisable value). Refer to note 17.9 for
further information. A fair value for each asset acquired by the Group is calculated by applying a relevant market discount rate to the contractual cash flow
expected to arise from each asset.
The independent Valuation Agent determines the discount rate that it believes the market would reasonably apply to each underlying investment, inter alia,
taking into account the following significant inputs:
— Pound Sterling interest rates;
— movements of comparable credit markets; and
— observable yield on other comparable instruments.
In addition, the following are also considered as part of the overall valuation process:
— market activity and investor sentiment; and
— changes to the economic, legal, taxation or regulatory environment.
The independent Valuation Agent exercises its judgement in assessing the expected future cash flows from each investment. Given that the investments
are generally fixed income debt instruments (in some cases with elements of inflation and/or interest rate protection) or other investments with a similar
economic effect, the focus of the independent Valuation Agent is assessing the likelihood of any interruptions to the debt service payments, in light of the
operational performance of the underlying asset.
The valuations and subsequent NAV are reviewed by the Investment Manager and the Directors on a semi‑annual basis.
Financial statements
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Notes to the financial statements continued
For the year ended 31 December 2024
17. Financial instruments continued
17.4 Market risk continued
The table below shows how changes in discount rates affect changes in the valuation of financial assets through profit or loss. The range of discount rate
changes has been determined with reference to historic discount rate changes made by the independent Valuation Agent.
31 December 2024
Change in discount rates (2.00%) (1.00%) 0.00% 1.00% 2.00%
Valuation of financial assets at fair value through
profit or loss (£’000)
1,2
188,945 181,061 173,894 167,359 161,388
Change in value of financial assets at fair value (£’000) 15,051 7,167 — (6,535) (12,506)
31 December 2023
Change in discount rates (2.00%) (1.00%) 0.00% 1.00% 2.00%
Valuation of financial assets at fair value through
profit or loss (£’000)
1,2
390,270 377,440 366,818 357,041 346,813
Change in value of financial assets at fair value (£’000) 23,452 10,622 — (9,777) (20,005)
1. Includes the fair value of the loans held at net realisable value which are not valued on a discounted cash flow basis; see note 17.9 for further details.
2. Including the NAV of the Subsidiary.
17.5 Interest rate risk
Interest rate risk arises from the effects of fluctuations in the prevailing level of market interest rates on the fair value of financial assets, future cash
flows and borrowings.
Interest rate risk has the following effect:
Fair value of financial assets
Interest rates are one of the factors which the independent Valuation Agent takes into account when valuing the financial assets. Interest rate risk is
incorporated by the independent Valuation Agent into the discount rate applied to the financial assets at fair value through profit or loss. Discount rate
sensitivity analysis is disclosed in note 17.4.
Future cash flows
The Company has historically invested, via its Subsidiary, in a diversified portfolio of investments which have been secured against, or comprised,
contracted, predictable medium to long‑term cash flows and/or physical assets. The Group’s investments have predominantly taken the form of medium to
long‑term fixed or floating rate loans which are secured against cash flows and/or physical assets which are predominantly UK based.
Interest rate hedging may be carried out to provide protection against falling interest rates in relation to assets that do not have a minimum fixed rate of
return acceptable to the Company in line with its investment policy and strategy. The Company has not entered into an interest rate hedging agreement
during the year, or in the prior year.
Other financial assets and liabilities
Bank deposits, payables and accrued expenses are exposed to and affected by fluctuations in interest rates. However, the impact of interest rate risk
onthese assets and liabilities is not considered material.
17.6 Credit risk
Credit risk is the risk that the counterparty to a financial instrument will fail to discharge an obligation or commitment it has entered into with the
Company. Assets classified at fair value through profit or loss do not have a published credit rating; however, the Investment Manager monitors the
financial position and performance of the Group’s borrowers on a regular basis to ensure credit risk is appropriately managed.
The Company is exposed to differing levels of credit risk across its assets. Per the statement of financial position, the Company’s total exposure to credit
risk is £178.2 million (31 December 2023: £398.1 million) represented through its investments, receivables, financial derivatives and cash.
Total cash reserves at year end were £4.1 million (31 December 2023: £30.9 million) and c. £15 million at the date of this annual report. The cash is held at a
number of banks that carry a minimum rating of A‑2, P‑2 or F2 from Standard and Poor’s, Moody’s and Fitch, respectively, to spread credit risk.
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The Group’s financial assets at fair value through profit or loss comprise debt and equity securities in the Subsidiary and, therefore, the credit risk of the
Company’s investments is highly dependent on the performance of the Subsidiary’s investment portfolio, which is valued on a semi‑annual basis by the
independent Valuation Agent. The independent Valuation Agent takes into account the credit risk associated with these investments in their valuation
by considering information provided by the Investment Manager on the performance of each underlying loan, including either early or late payments of
capital and interest, varying relevant loan facility covenants on the financial, business (commercial) and legal position of each borrower and the expected
realisation of assets, disposal of equity interests and/or refinancing of the loan.
The Company’s investments are illiquid instruments and have contractual cash flows which are re‑assessed by the Investment Manager with each borrower
for expected recoverability. After an investment is made, the forecasted cash flows are regularly updated by the Investment Manager with information
provided by the borrower for review by the independent Valuation Agent in order to monitor ongoing financial performance.
Any changes in the fair value of the investment portfolio are recognised through profit or loss. Such movements will incorporate a change to fair value
resulting from the receipt or expected non‑receipt of interest or principal payments, timing changes of cash flows, and the date of valuation and changes
to the discount rate. Discount rate sensitivity analysis is disclosed in note 17.4.
Credit risk assessment
Credit risk is considered by the independent Valuation Agent during the ongoing fair valuation process. Depending on the nature of the underlying
investments, in addition to payment performance, and compliance with facility covenants, residual credit risk is considered by the independent Valuation
Agent with reference to a number of factors for each loan including, but not limited to:
a) Asset and borrower business risks: ultimately these factors will impact the valuation of the secured assets and/or the borrower’s ability to service its
loan by altering the quantum and/or risk of cash flows associated with the asset, and the sensitivity of that valuation to such factors.
— market risks the borrower may be subject to that impact the borrower’s net cash flows by altering revenue and cost projections, which may be
impacted by the supply and demand for the goods or services associated with a business or asset;
— risks associated with reliance on third party customers or service providers to monetise an asset (such as operators, tenants), and the impact of
anydefault in payment or service provision by such parties;
— operational risks that the business or asset may be subject to, including the reliance on the performance of people, processes and systems; and
— legal and regulatory risks which the business or asset are subject to, such as changes to corporation tax, health and safety and environmental
compliance costs or changes to licences and consents.
b) Financing structure risks: risks resulting from the way the Company as an investor has accessed an asset’s cash flows and the associated risks and
lender security protections. These include:
— the seniority of the Group’s debt and the ranking of the Group in its subordinated positions, including the structure and nature of shared security,
demonstrated by metrics such as loan‑to‑value or cost;
— the Group’s security structure, the perfection of that security, the control that the borrower has over the underlying assets and its ability to enforce
that security along with the impact of enforcing against that security;
— the financial position of the borrower and the potential impacts on security guarantees;
— any illiquidity premium associated with the liquidity of the financing instrument; and
— the nature of repayment (bullet or amortising) and the conditions required to meet these payments (such as a refinance, asset disposal or
otherwise).
This bottom‑up consideration of credit risk for each loan, based on the specific information provided by the Investment Manager for each borrower and
other relative benchmarks such as comparable bond pricing and market analysis, taken with capital asset pricing model analysis, enables the independent
Valuation Agent to conclude their assessment on the likely recoverability of the forecast cash flows and to determine an appropriate discount rate and/or
appropriate credit impairment to apply to each loan.
At 31 December 2024, ten loans, totalling 31% of the fair value of the portfolio; 19% property loans, 11% social infrastructure loans and 1% asset finance
loans, have missed interest and/or principal payments and therefore remain outstanding beyond their contractual maturities. These loans will continue to
be monitored by the Investment Manager with regular reporting to the Board. The concentration of credit risk within the Group’s investment portfolio is
mitigated by its diverse exposure to a range of borrowers across 25 loans, multiple assets, sectors and strategies.
At year end, the concentration of credit risk to any one key relationship counterparty did not exceed 20% (31 December 2023: <20%) of the Group’s total
assets. The Group had exposure to two key relationship counterparties (31 December 2023: four) which together represent 45% (31 December 2023: 58%)
of the loans in the portfolio by value. The loans are also with different borrower entities, and in some cases have different ownership structures within
these relationships across different projects and assets.
Financial statements
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Notes to the financial statements continued
For the year ended 31 December 2024
17. Financial instruments continued
17.6 Credit risk continued
Credit risk assessment continued
Since the Company’s IPO in 2015, the Investment Manager has pursued an investment strategy that, amongst other things, has sought to diversify risk
across various sectors and borrowers. Following the decision by shareholders to pursue an Orderly Realisation, the size and value of the Company’s
portfolio will reduce as investments are realised and concentrated in fewer holdings, and the mix of loans and underlying asset exposure will be affected
accordingly. This may adversely affect the overall performance of the Company’s portfolio as it is exposed to lower diversification.
17.7 Currency risk
The Group’s investments at 31 December 2024 were denominated in Pound Sterling, except for one investment which was denominated in Euros
(31December 2023: five Euro‑denominated investments and one USD‑denominated investment). The investment is secured against Euro‑valued
contracted cash flows. The Company’s only currency exposure is through the trading activities of its investee companies. The Company engages in
currency hedging, in the form of one forward foreign exchange contract, to reduce the risk of adverse movements in currency exchange rates in relation
to its non‑Pound Sterling denominated investment. Realised and unrealised gains or losses on forward foreign exchange contracts are disclosed in note 3.
17.8 Liquidity risk
Liquidity risk is the risk that the Company may not be able to generate sufficient cash resources to settle its obligations in full as they fall due or can only do so
on terms that are materially disadvantageous. The Company is a closed‑ended investment company and therefore assets do not need to be liquidated to meet
redemptions, and sufficient liquidity is maintained to meet obligations as they fall due. The Company ensures it maintains adequate reserves by continuously
monitoring forecast and actual cash flows and matching the maturity profiles of financial assets and liabilities.
The table below analyses the Company’s assets and liabilities in relevant maturity groupings based on the remaining period from 31 December 2024 to the
contractual maturity date. The Directors have elected to present both assets and liabilities in the liquidity disclosure below to illustrate the net liquidity
exposure of the Company. The Board has amended the presentation of the analysis below to reflect the timeframe used in the stress testing and viability
analysis. Further information on viability can be found on page 36.
All cash flows in the table below are presented on an undiscounted basis.
31 December 2024
Less than
one month
£’000
One to
three months
£’000
Three to
twelve months
£’000
Greater than
twelve months
and not later
than five years
£’000
More than
five years
£’000
Total
£’000
Financial assets
Cash and cash equivalents 4,145 — — — — 4,145
Other receivables and prepayments — 7 43 — — 50
Financial assets at fair value through
profitorloss 22,800 16,165 24,068 98,386 135,490 296,909
Total financial assets 26,945 16,172 24,111 98,386 135,490 301,104
Financial liabilities
Derivative financial instruments — 5,647 — — — 5,647
Other payables and accrued expenses 2 757 351 688 — 1,798
Total financial liabilities 2 6,404 351 688 — 7,445
Net exposure 26,943 9,768 23,760 97,698 135,490 293,659
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31 December 2023
Less than
one month
£’000
One to
three months
£’000
Three to
twelve months
£’000
Greater than
twelve months
and not later
than five years
£’000
More than
five years
£’000
Total
£’000
Financial assets
Cash and cash equivalents 30,936 — — — — 30,936
Other receivables and prepayments 9 8 233 — — 250
Financial assets at fair value through
profitorloss 33,294 111,593 61,843 158,130 128,249 493,109
Total financial assets 64,239 111,601 62,076 158,130 128,249 524,295
Financial liabilities
Derivative financial instruments — (11,133) (1,142) — — (12,275)
Other payables and accrued expenses (3) (1,154) (204) — — (1,361)
Total financial liabilities (3) (12,287) (1,346) — — (13,636)
Net exposure 64,236 99,314 60,730 158,130 128,249 510,659
The Directors’ assessment of the Company’s ability to continue as a going concern, in note 2.1, includes an assessment of liquidity risk. The Board
hasconcluded that the Company will be able to generate sufficient cash resources to settle its obligations in full as they fall due for a period of at least
twelve months.
17.9 Fair values of financial assets
Valuation of financial instruments
The Company measures fair values using the following fair value hierarchy that reflects the significance of inputs used in making the measurements.
Categorisation within the hierarchy has been determined on the basis of the lowest level input that is significant to their fair value measurement of the
relevant assets as follows:
— Level 1 – valued using quoted prices unadjusted in active markets for identical assets or liabilities;
— Level 2 – valued by reference to valuation techniques using observable inputs for the asset or liability other than quoted prices included in Level 1; and
— Level 3 – valued by reference to valuation techniques using inputs that are not based on observable market data for the asset or liability.
An investment is always categorised as Level 1, 2 or 3 in its entirety. In certain cases the fair value measurement for an investment may use a number
of different inputs that fall into different levels of the fair value hierarchy. In such cases, an investment level within the fair value hierarchy is based
on the lowest level of input that is significant to the fair value measurement. The assessment of the significance of a particular input to the fair value
measurement requires judgement and is specific to the investment.
The independent Valuation Agent has carried out semi‑annual fair valuations of the financial assets of the Subsidiary. The same discount rates, determined
by the independent Valuation Agent, are applied to the future cash flows of the Secured Loan Notes issued by the Subsidiary to the Company to determine
the fair value of the assets of the Company.
The Company recognises transfers between levels of the fair value hierarchy at the end of the reporting period during which the change has occurred.
Financial statements
87
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Notes to the financial statements continued
For the year ended 31 December 2024
17. Financial instruments continued
17.9 Fair values of financial assets continued
Valuation of financial instruments continued
The tables below set out fair value measurements of financial instruments at the year end by the level in the fair value hierarchy into which the fair
valuemeasurement is categorised. The amounts are based on the value recognised in the statement of financial position. All fair value measurements
arerecurring.
31 December 2024
Level 1
£’000
Level 2
£’000
Level 3
£’000
Total
£’000
Financial assets at fair value through profit or loss — — 173,894 173,894
Derivative financial instruments (assets) — 83 — 83
Total — 83 173,894 173,977
31 December 2023
Level 1
£’000
Level 2
£’000
Level 3
£’000
Total
£’000
Financial assets at fair value through profit or loss — — 366,818 366,818
Derivative financial instruments (assets) — 107 — 107
Total — 107 366,818 366,925
31 December 2023
Level 1
£’000
Level 2
£’000
Level 3
£’000
Total
£’000
Derivative financial instruments (liabilities) — (5) — (5)
Total — (5) — (5)
The derivative financial instruments are classified as Level 2 as observable market data and are used for valuation and pricing.
The Directors have classified the financial instruments relating to ‘Investments in Subsidiary’ as Level 3 due to the limited number of comparable and
observable market transactions in this sector. The primary input for Level 3 at year end is the discount rates for these investments (excluding the loans
held at net realisable value which are not valued on a discounted cash flow basis; refer to note 2.1 for further information); discount rates are considered to
be primarily modelled rather than market observed. The secured loan facilities that the Subsidiary has invested in are also classified as Level 3.
The following table shows a reconciliation of all movements in the fair value of financial instruments categorised within Level 3 between the beginning and
end of the year:
31 December
2024
£’000
31 December
2023
£’000
Opening fair value of financial instruments at fair value through profit or loss 366,818 435,071
Investment in Subsidiary 3,127 32,655
Capital repayments from Subsidiary (166,327) (93,512)
Realised loss on financial assets at fair value through profit or loss:
Debt – Secured Loan Notes up to £1,000,000,000 (3,777)
1
(3,091)
Unrealised loss on financial assets at fair value through profit or loss
2
:
Debt – Secured Loan Notes up to £1,000,000,000 (24,995) (4,257)
Equity – representing one ordinary share in the Subsidiary (952) (48)
Closing fair value of financial instruments at fair value through profit or loss 173,894 366,818
1. Comprises write‑downs in respect of a multi‑use community facility and a student accommodation asset upon realisation.
2. Refer to note 11 for further information.
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For the Company’s financial instruments categorised as Level 3, changing the discount rate used to value the underlying instruments alters the fair value.
In determining the discount rate for calculating the fair value of financial assets at fair value through profit or loss, reference is made to Pound Sterling
interest rates, movements of comparable credit markets and observable yields on comparable instruments. Hence, movements in these factors could give
rise to changes in the discount rate. A change in the discount rate used to value the Level 3 investments would have the effect on the valuation as shown in
the table in note 17.4.
The fair value of the investment in the Subsidiary is based on the aggregate of the NAV of the Subsidiary and the value of the Secured Loan Notes issued by
the Subsidiary. At 31 December 2024, the NAV of the Subsidiary was as follows:
31 December
2024
£’000
31 December
2023
£’000
GABI UK
1
3,087 4,039
1. Refer to note 11 for further information.
The key driver of the NAV of the Subsidiary is the valuation of its portfolio of secured loan facilities issued to the Project Companies.
The Secured Loan Notes issued by the Subsidiary that the Company has subscribed for, are valued on a discounted cash flow basis in line with the model
used by the independent Valuation Agent, applying the following discount rates:
Fair
value
1
£’000
Valuation
technique
Key
unobservable
inputs
Discount
rate
Financial assets at fair value through profit or loss
– 31 December 2024 146,263 Discounted cash flow Discount rate 9.0%
3
Financial assets at fair value through profit or loss
– 31 December 2024 24,544
4
Net realisable value Discount rate —
Financial assets at fair value through profit or loss
– 31 December 2023 359,092
2
Discounted cash flow Discount rate 10.5%
3
Financial assets at fair value through profit or loss
– 31 December 2023 3,687
4
Net realisable value Discount rate —
1. Including the NAV of the Subsidiary.
2. Balance excludes the fair value of the loans held at net realisable value.
3. Weighted average discount rate.
4. Fair value of the loans held at net realisable value which are not valued on a discounted cash flow basis.
The investments in Project Companies held by the Subsidiary (excluding the loans held at net realisable value) are valued on a discounted cash flow basis,
in line with the methodology used by the independent Valuation Agent. At the year end, discount rates ranged from 6‑14% (31December2023:7‑14%).
At31December 2024, seven loans were held at net realisable value, totalling £24.5 million.
The Directors reviewed the valuation report provided by the independent Valuation Agent which references the inputs used in the valuation of
investments and the appropriateness of their classification in the fair value hierarchy. In particular, the Directors are satisfied that the significant inputs
in the determination of the discount rate adopted by the independent Valuation Agent are pursuant to the independent Valuation Agent’s engagement
letter. Should the valuation approach change, causing an investment to meet the characteristics of a different level of the fair value hierarchy, it will be
reclassified accordingly.
During the year, there were no transfers of investments between levels.
Financial statements
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Notes to the financial statements continued
For the year ended 31 December 2024
17. Financial instruments continued
17.9 Fair values of financial assets continued
Directors’ assessment
The Directors met with the independent Valuation Agent during the year and post year end to discuss and challenge the following:
— the rationale for the level of discount rate increases determined by the independent Valuation Agent;
— how the independent Valuation Agent’s assessment of the likelihood of full recovery of loans is reflected in their fair valuation, based on information
received from the Investment Manager;
— how the structuring of a given loan, the security and the extent of control from the available enforcement arrangements and level of subordination is
reflected by the independent Valuation Agent in their discount rate;
— the extent to which loans for which contractual repayment is either imminent or overdue are insensitive to discount rate changes and the impact of this
on fair valuation;
— the potential for impairment in asset values relative to their proposed fair value, particularly in the context of an accelerated sales process; and
— the appropriateness of applying a discounted cash flow valuation methodology or an alternative such as assumed realisation based on estimated
recovery and/or appropriate impairment.
Based on these discussions, the Directors are satisfied that the methodology adopted by the independent Valuation Agent to fair value the loans is
reasonable. The impact on fair value attributable to any missed capital and/or interest payments for loans that are past their facility maturity date and any
other change in credit risk will continue to be monitored by the Investment Manager and reviewed regularly with the Board.
18. Related party disclosures
As defined by IAS 24 Related Party Disclosures, parties are considered to be related if one party has the ability to control the other party or exercise
significant influence over the other party in making financial or operational decisions. Subsidiary companies are also deemed to be related parties as they
are members of the same group of companies.
Directors
The Directors of the Company are considered to be key management personnel of the Company. Directors’ remuneration for the year (including
reimbursement of Company‑related expenses) totalled £254,000 (31 December 2023: £259,000).
At 31 December 2024, liabilities in respect of these services amounted to £51,000 (31 December 2023: £63,000).
At 31 December 2024, the Directors of the Company held directly or indirectly, and together with their family members, 41,925 ordinary shares
(31December2023: 161,171).
Alex Ohlsson is the group chairman (previously managing partner) of Carey Olsen, the Company’s Jersey legal advisers. Carey Olsen has provided legal
services to the Company during the year. Carey Olsen maintains procedures to ensure that the Chairman has no involvement in the provision of legal
services to the Company. TheCompany maintains procedures to ensure that the Chairman takes no part in any decision to engage the services of Carey
Olsen. During the year, the aggregate sum of £15,000 (31 December 2023: £10,000) was paid to Carey Olsen in respect of legal work undertaken, of which
£nil (31 December 2023: £nil) is outstanding at year end.
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Investment Manager
The Company is party to an investment management agreement with the Investment Manager, which was most recently amended and restated in
December2020. A side letter to the existing investment management agreement was approved by shareholders at the Company’s EGM in May 2024.
Pursuant to the terms of the side letter, the Company has appointed the Investment Manager to implement a Realisation Plan that has been agreed
with theBoard. This plan sets out, among other things, the options and base case plan to realise each loan, the delegated authorities under which the
Investment Manager shall work to implement the revised investment objective and policy and the approach to the realisation of any residual positions
at the target date of 31December 2027, or any other such date that may be agreed between the Board and Investment Manager from time to time. This
includes the process for realisation and how the Investment Manager shall assess the merits of realisation against other options that may be available
tothe Company at such a time.
As a result of the responsibilities delegated under this investment management agreement, the Company considers it to be a related party by virtue of
being ‘key management personnel’. Under the terms of the investment management agreement, the notice period of the termination of the Investment
Manager by the Company is twelve months.
For its services to the Company, the Investment Manager receives an investment management fee which is calculated and paid quarterly in arrears at
an annual rate of 0.75% per annum of the prevailing NAV of the Company minus the value of the cash holdings of the Company pro rata for the period for
which such cash holdings have been held. This fee is calculated and paid quarterly in arrears. Prior to 20 May 2024, the annual rate was 0.90% per annum.
The Investment Manager also receives an annual fee of £25,000 in relation to its role as the Company’s AIFM, which is increased on an annual basis in
accordance with the rate of the RPI.
During the year, the Company incurred £2,035,000 (31 December 2023: £3,480,000) in respect of the services outlined above; £2,002,000
(31December2023: £3,448,000) in respect of investment management services and £33,000 (31 December 2023: £32,000) in respect of AIFM services
provided by the Investment Manager. At 31 December 2024, liabilities in respect of these services amounted to £777,000 (31 December 2023: £832,000).
In accordance with the terms of the side letter approved by the Board, the Investment Manager is entitled to an incentive fee equal to 20.0% of the value
of any Excess Proceeds. ‘Excess Proceeds’ means, in respect of any realisation, the value of such realisation (if any) that is in excess of the value that
would, on the date of such realisation, be required to deliver an IRR equal to 12.0% per annum, calculated using the XIRR function in Excel, and based on:
a) a negative value equal to the ‘Adjusted Portfolio Valuation Amount’ on 31 December 2023;
b) the negative values and dates of any cash advances made by the Company or the Group by way of a utilisation or drawdown under a loan or loans since
31December 2023; and
c) the positive values and dates of all realisations relating to the loans since 31 December 2023 received by the Company or the Group relating to loans at
31 December 2023.
The ‘Adjusted Portfolio Valuation Amount’ on 31 December 2023 was £321,214,023. The ‘Adjusted Portfolio Valuation Amount’ reflects an implied market
capitalisation at 31 December 2023 based on an assumed share price of 82.5 pence and reflecting non‑investment balance sheet items at 31 December
2023. The Board and the Investment Manager agreed an assumed share price of 82.5 pence for the purposes of this calculation to reflect shareholders’
views on the value of the Company received during the strategic review.
The incentive fee is an IRR‑based fee reflecting portfolio cash flows and, whilst the Investment Manager’s right to an incentive fee is assessed on each
realisation, no incentive fee shall be payable to the Investment Manager until a 12.0% compound annual return has been achieved on the ‘Adjusted Portfolio
Valuation Amount’ through realisations. At 31 December 2024, the Board recognised a provision of £688,000 for the incentive fee in accordance with
the calculation methodology detailed above and the forecast realisation plan set out on page 13, which has been included in the financial statements.
Theprovision is based on the assumption that the realisation plan is achieved by 31 December 2027.
The incentive fee replaced the arrangement fee whereby, prior to 20 May 2024, the Investment Manager, at its discretion, was entitled to an
arrangementfee of up to 1% of the value of each investment made by the Company. The cost of any such fee was typically covered by the borrowers
andnot the Company.
During the year, the Investment Manager received £182,000 (31 December 2023: £243,000) from arrangement fees which have been met by the borrowers
and £nil (31 December 2023: £nil) from arrangement fees which have been met by the Company. To the extent any arrangement fee negotiated by the
Investment Manager with a borrower exceeds 1.0%, the benefit of any such excess is paid to the Company.
A number of the Directors and employees of the Investment Manager also sit on the board of the Subsidiary.
At 31 December 2024, the key management personnel of the Investment Manager held directly or indirectly, and together with their family members, 39,838
ordinary shares in the Company (31 December 2023: 2,156,040 ordinary shares).
At 31 December 2024, the Directors and/or shareholders of the Investment Manager, and their family members, directly or indirectly own an equity interest
in the Subsidiary’s student accommodation investments. These investments are valued by the independent Valuation Agent in line with the rest of the
portfolio and were approved by the Board at the time of acquisition.
Financial statements
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Notes to the financial statements continued
For the year ended 31 December 2024
18. Related party disclosures continued
Subsidiary
At 31 December 2024, the Company owns a 100% (31 December 2023: 100%) controlling stake in the Subsidiary. The Subsidiary is considered to be a related
party by virtue of being part of the same group. The Company indirectly owns 100% of GABI Housing Limited, GABI GS Limited and GABI Housing 2 Limited;
for further information, refer to note 1.
The following tables disclose the transactions and balances between the Company and the Subsidiary. Please refer to note 11 for further details about the
transactions during the year:
Transactions
31 December
2024
£’000
31 December
2023
£’000
Intercompany income received
Early repayment fee income 548 1,177
Sundry income 156 40
Arrangement fee income 499 109
Unrealised gains on foreign exchange 40 —
Loan note interest realised 22,811 31,747
Total 24,054 33,073
Balances
31 December
2024
£’000
31 December
2023
£’000
Intercompany balances receivable — —
Principal value of intercompany holdings within financial assets at fair value through profit or loss 203,459 370,435
19. Subsequent events after the report date
The following events occurred post year end:
— on 12 February 2025, the Company announced a fourth interim dividend of 1.58125 pence per share amounting to £3.4 million which was paid on
21March2025 to ordinary shareholders on the register at 21 February 2025;
— the Company’s forward foreign exchange contract shown in note 17.1 matured and was replaced on the same terms as the existing contract; and
— the Group received twelve repayments totalling £9.2 million.
20. Ultimate controlling party
It is the view of the Board that there is no ultimate controlling party.
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Shareholder information
Key dates
March
Payment of fourth interim dividend
April
Annual results announced
June
Annual General Meeting
June
Payment of first interim dividend
August
Payment of second interim dividend
September
Interim results announced
December
Payment of third interim dividend
Company’s year end
NAV publication
The Company’s NAV is released to the LSE on a semi‑annual basis and is
published on the Company’s website.
Further information
Copies of the Company’s annual and half‑yearly reports, semi‑annual
investor reports, stock exchange announcements and further information
on the Company can be obtained from the Company’s website.
Warning to users of this report
This report is intended solely for the information of the person to whom it
is provided by the Company, the Investment Manager or the Administrator.
This report is not intended as an offer or solicitation for the purchase of
the shares in the Company and should not be relied on by any person for
the purpose of accounting, legal or tax advice or for making an investment
decision. The payment of dividends and the repayment of capital are not
guaranteed by the Company. Any forecast, projection or target is indicative
only and not guaranteed in any way, and any opinions expressed in this report
are not statements of fact and are subject to change. Neither the Company
nor the Investment Manager are under any obligation to update such
opinions.
Past performance is not a reliable indicator of future performance, and
investors may not get back the original amount invested. Unless otherwise
stated, the source for all information contained in this report is the
Investment Manager and the Administrator. Information contained in this
report is believed to be accurate at the date of publication, but neither
the Company, the Investment Manager and the Administrator give any
representation or warranty as to the report’s accuracy or completeness.
This report does not contain and is not to be taken as containing any
financial product advice or financial product recommendation. Neither the
Company, the Investment Manager and the Administrator accept any liability
whatsoever for any loss (whether direct or indirect) arising from the useof
this report or its contents.
Financial statements
93
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
The Board and the Investment Manager assess the Company’s performance using a variety of measures that are not defined under IFRS Accounting
Standards and are therefore classed as APMs. Where possible, reconciliations to IFRS Accounting Standards are presented from the APMs to the most
appropriate measure prepared in accordance with IFRS.
All items listed below are IFRS Accounting Standards financial statement line items unless otherwise stated. APMs should be read in conjunction with the
statement of comprehensive income, statement of financial position, statement of changes in equity and statement of cash flows, which are presented in
the financial statements section of this report. The APMs below may not be directly comparable with measures used by other companies.
Adjusted earnings/EPS
In respect of a period, the EPS is adjusted to remove the impact of fair valuation movements of investments in such period arising from: (i) discount rate
adjustments; and (ii) upward or downward revaluations associated with the performance of investments.
Adjusted EPS
For the
year ended
31 December
2024
£’000
For the
year ended
31 December
2024
(Pence per
share)
For the
year ended
31 December
2023
£’000
For the
year ended
31 December
2023
(Pence per
share)
Basic and diluted earnings (10,342) (3.13) 18,264 4.27
Increase to weighted average discount rates
1
19,200 5.82 6,360 1.49
Adjustment for realised losses 3,777 1.14 3,091 0.72
Other downward revaluations associated with the performance of investments 3,549 1.07 2,310 0.54
Adjusted earnings/EPS 16,184 4 .9 0 30,025 7.02
Annualised loss ratio
A measure of the Company’s ability to preserve the capital value of its investments over the long term. It is calculated as total aggregate downward
revaluations divided by total invested capital since IPO expressed as a time weighted annual percentage.
For the
year ended
31 December
2024
For the
year ended
31 December
2023
Total aggregate downward revaluations since IPO 74,519 43,063
Total invested capital since IPO 1,061,009 1,057,906
Percentage (annualised) 0.74% 0.50%
Annualised total shareholder return since IPO
Total shareholder return¹ expressed as a time weighted annual percentage.
This is a standard performance metric across the investment industry and allows comparability across the sector.
Source: Bloomberg
Average LTV
The ratio of a loan or mortgage to a property valuation, averaged across the Company’s property investments, expressed as a percentage. This ratio
demonstrates the headroom in the underlying asset values to absorb negative movements in property valuations.
Alternative performance measures (unaudited)
1. Refer to relevant APM on page 96 for further information.
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Average NAV
The average NAV of the Company over the reporting year.
Quarter ended
NAV per share
31 December
2024
(pence)
NAV per share
31 December
2023
(pence)
For the
year ended
31 December
2024
£’000
For the
year ended
31 December
2023
£’000
31 March 2024/2023 91.25 95.13 388,385 407,010
30 June 2024/2023 90.92 93.96 241,857 399,921
30 September 2024/2023 90.01 93.36 239,453 397,373
31 December 2024/2023 81.80 93.21 176,374 396,745
Average NAV 88.50 93.92 261,517 400,262
Discount/average discount
The amount, expressed as a percentage, that the Company’s shares trade below the prevailing NAV per share. This metric is shown at a point in time or as
an average over the stated period.
Dividend cover ratio
Ratio of earnings to dividends calculated as dividends per share divided by EPS.
For the
year ended
31 December
2024
For the
year ended
31 December
2023
Total (loss)/profit and comprehensive income (£’000) (10,342) 18,264
Weighted average number of shares
1
330,189,880 427,242,221
Basic EPS (p) (3.13) 4.27
Adjusted EPS
12
(p) 4.90 7.02
Dividends (p) 6.325
3
6.325
Dividend cover ratio (basic) (0.49) 0.68
Dividend cover ratio (adjusted) 0.77 1.11
Dividend yield
Total dividend per share declared for the year annualised, relative to the closing share price at the year end, expressed as a percentage.
IRR
IRR is the interest rate at which the net present value of all the cash flows (both positive and negative) from a project or investment equal zero.
The IRR is used to evaluate the attractiveness of a project or investment.
1. Refer to relevant APM on page 96 for further information.
2. Refer to relevant APM on page 94 for further information.
3. Total dividends of 6.325 pence include a quarterly dividend of 1.581 pence per share for the quarter to 31 December 2024, which was declared post year end.
Additional info
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GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Premium/average premium
The amount, expressed as a percentage, that the Company’s shares trade above the prevailing NAV per share. This metric is shown at a point in time or
asan average over the stated period.
Total NAV return
A measure of the performance of a company’s NAV over the stated period. It combines NAV movements and dividends to show the total return to the
shareholder expressed as a percentage. It assumes that dividends are reinvested in the shares at the time the shares are quoted ex‑dividend.
This is a standard performance metric across the investment industry and allows comparability across the sector.
Source: Bloomberg
Total shareholder return
A measure of the performance of a company’s shares over the stated period. It combines share price movements and dividends to show the total return to
the shareholder expressed as a percentage. It assumes that dividends are reinvested in the shares at the time the shares are quoted ex‑dividend.
This is a standard performance metric across the investment industry and allows comparability across the sector.
Source: Bloomberg
Weighted average annualised yield
The weighted average yield on the investment portfolio calculated based on the yield of each investment weighted by the principal balance outstanding on
such investment, expressed as a percentage. The weighted average yield does not include principal indexation.
The yield forms a component of investment cash flows used for the valuation of financial assets at fair value through profit or loss under IFRS 9.
Weighted average discount rate
A rate of return used in valuation to convert a series of future anticipated cash flows to present value under a discounted cash flow approach. This
approach is used for the valuation of financial assets at fair value through profit or loss under IFRS 9.
The average rate is calculated with reference to the relative size of each investment.
Weighted average number of shares
The weighted average number of shares is calculated by multiplying the number of shares in issue during the year after buybacks of shares by the
percentage of the reporting period for which that number applies for each period. The total weighted average number of shares at the year end was
330,189,880shares.
Alternative performance measures (unaudited) continued
96
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Glossary
Adjusted EPS
Refer to APMs on pages 94 to 96
AGM
The Annual General Meeting of the Company
AIC
Association of Investment Companies
AIC Code
AIC Code of Corporate Governance
AIF
Alternative Investment Fund
AIFM
Alternative Investment Fund Manager
Annualised total shareholder return since IPO
Refer to APMs on pages 94 to 96
APM
Alternative performance measure
Articles
The articles of association of the Company
Average LTV
Refer to APMs on pages 94 to 96
Borrower
Owner of a Project Company to which the Group
advances loans
Carey Olsen
Carey Olsen Jersey LLP
CIF Law
Collective Investment Funds (Jersey) Law 1988
Company
GCP Asset Backed Income Fund Limited
Discount
Refer to APMs on pages 94 to 96
Discount rate
Refer to APMs on pages 94 to 96
Dividend cover ratio
Refer to APMs on pages 94 to 96
DTRs
Disclosure Guidance and Transparency Rules of
the FCA
EGM
Extraordinary General Meeting
EPS
Earnings per share
ESG
Environmental, social and governance
FCA
Financial Conduct Authority
FRC
Financial Reporting Council
GABI GS
GABI GS Limited
GABI Housing
GABI Housing Limited
GABI Housing 2
GABI Housing 2 Limited
GABI UK and/or the Subsidiary
GCP Asset Backed Income (UK) Limited
Group
The Company, GABI UK, GABI GS, GABI Housing,
GABI Housing 2
IAS
International Accounting Standards
IASB
International Accounting Standards Board
IFRIC
International Financial Reporting Interpretations
Committee
IFRS Accounting Standards
International Financial Reporting Standards
Accounting Standards as issued by the IASB
Additional info
97
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Glossary continued
IPO
Initial public offering
IRR
Internal rate of return
Refer to APMs on pages 94 to 96
ISAE
International Standard on Assurance
Engagements
ISSB
International Sustainability Standards Board
Jersey Company Law
The Companies (Jersey) Law 1991, as amended
JFSC
Jersey Financial Services Commission
KPI
Key performance indicator
Listing Rules
FCA Listing Rules
LSE
London Stock Exchange
MAR
EU Market Abuse Regulation
Market capitalisation
Value of a company traded on the LSE, calculated
as total number of shares multiplied by closing
share price
MiFID II
The UK version of MiFID II which is part of UK law
by virtue of the European Union (Withdrawal) Act
2018
NAV
Net asset value
Orderly Realisation
A managed wind‑down of the Company with an
orderly realisation of its assets
Premium
Refer to APMs on pages 94 to 96
PRI
UN Principles for Responsible Investment
Project Company
A special purpose company which owns and
operates an asset
RBSI
The Royal Bank of Scotland International Limited
RCF
Revolving credit facility
Realisation Plan
The realisation plan published on the Company’s
website on July 2024, which can be found at
www.graviscapital.com/our‑products/gcp‑
asset‑backed/literature
RPI
Retail price index
SDR
Sustainability Disclosure Requirements
Secured Loan Notes
Loan notes issued to the Company
Senior
Senior loans are those that take priority over
unsecured or otherwise more ‘junior’ debt
such as subordinated loans in the event that a
company fails to fulfil its repayment obligations
Total NAV return
Refer to APMs on pages 94 to 96
Total shareholder return
Refer to APMs on pages 94 to 96
UK AIFM Regime
Together, The Alternative Investment Fund
Managers Regulations 2013 (as amended by
The Alternative Investments Fund Managers
(Amendment etc.) (EU Exit) Regulations 2019)
andthe Investment Funds sourcebook forming
part of the FCA Handbook, as amended from
timeto time
UK Code
UK Corporate Governance Code
Weighted average annualised yield
Refer to APMs on pages 94 to 96
Weighted average discount rate
Refer to APMs on pages 94 to 96
98
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Corporate information
The Company
GCP Asset Backed Income Fund Limited
IFC 5
St Helier
Jersey JE1 1ST
Directors and/or the Board
Alex Ohlsson (Chairman)
Joanna Dentskevich (resigned 20 May 2024)
Colin Huelin FCA (resigned 20 May 2024)
Marykay Fuller
Philip Braun (appointed 20 May 2024)
Administrator, secretary and
registeredoffice of the Company
Apex Financial Services (Alternative Funds)
Limited
IFC 5
St Helier
Jersey JE1 1ST
Tel: +44 (0)20 4549 0700
Advisers on English law
Stephenson Harwood LLP
1 Finsbury Circus
London EC2M 7SH
Advisers on Jersey law
Carey Olsen Jersey LLP
47 Esplanade
St Helier
Jersey JE1 0BD
Broker
Barclays Bank plc
1 Churchill Place
London E14 5RB
Depositary
Apex Financial Services (Corporate) Limited
IFC 5
St Helier
Jersey JE1 1ST
Independent Auditor
PricewaterhouseCoopers CI LLP
37 Esplanade
St Helier
Jersey JE1 4XA
Investment Manager, AIFM and
securitytrustee
Gravis Capital Management Limited
24 Savile Row
London W1S 2ES
Principal banker
Royal Bank of Scotland International Limited
71 Bath Street
St Helier
Jersey JE4 8PJ
Public relations
Burson Buchanan Limited
107 Cheapside
London EC2V 6DN
Registrar
MUFG Corporate Markets (Jersey) Limited
(previously Link Markets Services (Jersey)
Limited)
ICF 5
St Helier
Jersey JE1 1ST
Share Register Analyst
Orient Capital Limited
65 Gresham Street
London EC2V 7NQ
Valuation Agent
Mazars LLP
Tower Bridge House
St Katharine’s Way
London E1W 1DD
Additional info
99
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
Notes
100
GCP Asset Backed Income Fund Limited
Annual report and financial statements 2024
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GCP Asset Backed Income Fund Limited
IFC 5
St Helier
Jersey JE1 1ST
Company number: 119412
GCP Asset Backed Income Fund Limited Annual report and financial statements for the year ended 31 December 2024