Gryphon Capital Income Trust Reports Steady 8.70% Annualised Yield with June 2026 Distribution Amid Market Challenges

June 2026 Distribution Sustains Premium Over RBA Cash Rate

Gryphon Capital Income Trust announced a 1.38 cents per unit distribution for June 2026, translating to an 8.70% net annualised yield for unitholders. The distribution is fully funded from net investment income, excluding unrealised capital gains or losses, underscoring the trust’s commitment to sustainable income. This payout aligns with GCI’s core objective to provide consistent monthly income with a long-term target return of RBA Cash Rate plus 3.50% per annum net of fees.

The June distribution represents a 4.35 percentage point spread above the RBA Cash Rate of 4.35% as of 30 June 2026. Over the trailing twelve months to June 2026, GCI’s distributions annualised to 7.86%. The steady distributions throughout the fiscal year, despite volatile macroeconomic conditions, reflect the manager’s disciplined portfolio construction and risk management. Monthly distributions are regularly paid, with daily unit pricing and an investment management fee of 0.72% per annum without any performance fees.

Strong Performance Against Investment Objectives in FY26

During financial year 2026, GCI consistently met its strategic goals of sustainable monthly income, strong risk-adjusted returns, and capital preservation despite significant macroeconomic headwinds. The year was marked by geopolitical instability, including a prolonged Middle East conflict, elevated global inflation expectations, and shifts in global interest rate outlooks. Despite these challenges, the trust’s net tangible asset return for the twelve months ending June 2026 was 7.87%, outperforming its target return of 7.55% and the RBA Cash Rate of 3.91%.

The investment strategy emphasizes consistent income generation across diverse economic environments. Over the five-year annualised period, GCI achieved a 7.47% net tangible asset return, surpassing the 6.75% target and the 3.14% average RBA Cash Rate. The three-year annualised net tangible asset return was 8.71%, exceeding the three-year target of 7.85%. The company did not disclose detailed capital raising or deployment figures for the fiscal year.

Disciplined Capital Management Enhances Liquidity and Diversification

Throughout FY26, the manager adopted a disciplined capital management approach, raising funds only when a clear pipeline of investment opportunities aligned with GCI’s return and risk criteria was present. This strategy avoids excessive growth that could saturate market opportunities, dilute investor returns, and impair trading performance, prioritising investment quality over rapid expansion.

A larger fund size benefits unitholders by enabling broader exposure across RMBS and ABS markets, enhancing portfolio diversification and flexibility in allocating capital across public new issues, private securitisation warehouses, and secondary market opportunities. The expanded investor base also improves ASX liquidity for trading units. As of 30 June 2026, the trust’s market capitalisation was $1,316.4 million with a net tangible asset value of $1,275.1 million, equating to $2.01 per unit.

Portfolio Composition and Asset-Based Finance Strategy

Gryphon Capital Income Trust primarily invests in the Australian securitisation market, with a portfolio largely composed of Residential Mortgage-Backed Securities and Asset-Backed Securities. As of 30 June 2026, GCI held 184 bonds, reflecting significant diversification within the securitisation sector. The investment approach spans public market securitised bonds and private warehouse facilities, offering exposure to various asset classes and credit ratings from AAA to below investment grade.

Managed by Barings Asset-Based Finance Australia (formerly Gryphon Capital Investments Pty Ltd), part of Barings’ Global ABF platform managing approximately US$60 billion in assets, the Australian ABF team is a leading participant in the domestic securitisation market with extensive sector expertise. The portfolio’s interest rate duration is 0.04 years, and credit spread duration is 1.06 years, indicating short-dated holdings with sensitivity to credit spread changes. The investment management fee is 0.72% per annum with no performance fees.

Resilient Australian Mortgage Borrower Performance Amid Cost Pressures

Despite rising interest rates and cost-of-living pressures, Australian mortgage borrowers maintained resilient performance during the period. While mortgage arrears have slightly increased, they remain low historically, showing most borrowers continue servicing loans. However, borrower performance is becoming more varied across loan vintages, borrower types, and collateral segments.

Households that borrowed near the property market peak or have limited repayment flexibility face greater challenges from higher living costs and interest rates. Early signs of stress are emerging in the consumer credit market, although specific metrics were not disclosed. This borrower performance dispersion underscores the importance of portfolio diversification and rigorous credit selection, central to GCI’s investment and risk management framework.

Manager Profile and Global Alternative Asset Platform

Gryphon Capital Income Trust is managed by Barings Asset-Based Finance Australia, a division of Barings, a global alternative asset manager overseeing over US$502 billion in assets as of 30 June 2026. Barings employs more than 2,000 professionals serving over 1,400 external clients worldwide. The Global ABF platform invests across public and private markets in residential, commercial, and consumer asset-based finance, managing approximately US$60 billion.

The Australian ABF team brings deep expertise in the domestic securitisation market, investing across capital structures and participating in public term transactions, private warehouses, and whole loan investments. The trust’s Responsible Entity is One Managed Investment Funds Limited (ACN 117 400 987, AFSL 297042), with the Manager being Gryphon Capital Investments Pty Ltd (ACN 167 850 535, AFSL 454552). Listed on the ASX since 25 May 2018, GCI offers daily unit pricing and is accessible via platforms including HUB24, Netwealth, Macquarie Wrap, Mason Stevens, and others.

Distribution Sustainability and Income Funding Approach

GCI’s distributions are fully funded from net investment income, excluding unrealised capital gains or losses, ensuring payouts reflect genuine income rather than capital return or unrealised gains. The consistent monthly distributions throughout FY26, despite volatile macroeconomic and geopolitical conditions, demonstrate the robustness of income generation and the manager’s disciplined portfolio construction.

While specific income source composition was not disclosed, the trust targets a return of RBA Cash Rate plus 3.50% net of fees as a benchmark. Monthly distribution amounts vary based on actual portfolio income. For the twelve months ending June 2026, total distributions annualised at 7.86%, a 3.95 percentage point premium over the average RBA Cash Rate during that period.

Unit Pricing, Market Performance, and Investor Accessibility

As of 30 June 2026, GCI units traded at $2.07 on the ASX, a 0.3% premium to the net tangible asset value of $2.01 per unit. Daily unit pricing enables transparent valuations and ease of entry or exit. The trust’s market capitalisation stood at $1,316.4 million, reflecting its scale and investor base size.

Units are investable through platforms such as Asgard, BT Panorama, CFS Edge, DASH, First Choice, First Wrap, HUB24, Macquarie Wrap, Mason Stevens, and Netwealth, offering convenient access. Boardroom Limited provides unit registry services, reachable at 1300 737 760 for enquiries. The current yield is 8.70% net, with an investment management fee of 0.72% per annum and no performance fees.

Capital Preservation Amid Emerging Market Dispersion

Capital preservation remains a cornerstone of GCI’s investment philosophy, reflected in its strategic objectives and disciplined asset selection. As borrower performance varies increasingly due to interest rate and cost-of-living pressures, the emphasis on quality credit selection and portfolio diversification grows in importance. The manager notes growing variability in borrower outcomes across loan vintages, types, and collateral, highlighting the need for differentiated underwriting and credit analysis to uphold portfolio quality.

With 184 individual bond holdings across RMBS and ABS markets, the trust achieves diversification mitigating concentration risk. The manager’s prudent capital management, raising funds only when quality opportunities are available, supports capital preservation by avoiding forced investments in lower-quality assets. Although specific provisions, reserves, or hedging strategies were not disclosed, the portfolio’s minimal interest rate duration of 0.04 years limits exposure to rate volatility.