Annual report
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Details of Reporting Period Year ended 30 June 2026Current: Year ended 30 June 2025Previous corresponding: Results for announcement to the market Extracted from financial statements for the year ended 30 June 2026. $'000Movement %Movement Revenue for the year from ordinary activities Up 31.27% 99,769 Profit/(loss) for the year Up 30.63% 89,859 Total comprehensive income/(loss) for the year Up 30.63% 89,859 Details of distributions Details of distribution reinvestment plan N/A Net Tangible Assets As at As at 30 June 2026 30 June 2025 Total Net Tangible Assets attributable to unitholders ($'000) 1,275,146 1,051,972 Units on issue 635,950,578 524,315,503 Net Tangible Assets attributable to unitholders per unit ($) 2.01 2.01 Control gained or lost over entities during the year The Trust did not gain or lose control over entities during the year. Details of associates and joint venture entities The Trust did not have any interest in associates and joint venture entities during the year. Independent audit report This report is based on the financial report which has been audited. All the documents comprise the information required by Listing Rule 4.3A. GCI is a registered managed investment scheme that was constituted on 7 December 2017, registered on 20 December 2017, commenced operations on 21 May 2018 and its units commenced trading on the Australian Securities Exchange (ASX: GCI) on 25 May 2018. The directors of One Managed Investment Funds Limited, the responsible entity of the Gryphon Capital Income Trust (the "Trust") announce the audited results of the Trust for the year ended 30 June 2026 as follows: During the year, monthly distributions totaling 15.24 cents per ordinary unit were paid or declared which amounted to $89,955,062. On 27 July 2026 a distribution of 1.35 cents per ordinary unit which amounted to $8,610,770.83 was approved and paid on 10 August 2026. Gryphon Capital Income Trust ARSN 623 308 850 Appendix 4E For the year ended 30 June 2026
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Gryphon Capital Income Trust ARSN 623 308 850 Annual report for the year ended 30 June 2026
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Table of contents Page Directors' report 1 Auditor's independence declaration 6 Financial Report Statement of profit or loss and other comprehensive income 7 Statement of financial position 8 Statement of changes in equity 9 Statement of cash flows 10 Note to the financial statements 12 Directors' declaration 36 Independent auditor's report to the unitholders of the Gryphon Capital Income Trust 37 The financial statements cover the Gryphon Capital Income Trust as an individual entity. The responsible entity of the Gryphon Capital Income Trust is One Managed Investment Funds Limited (ABN 47 117 400 987, AFSL 297 042). The Responsible Entity’s registered office is: Level 16, Governor Macquarie Tower, 1 Farrer Place Sydney NSW 2000
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Gryphon Capital Income Trust Directors' report The directors of One Managed Investment Funds Limited (ABN 47 117 400 987, AFSL 297 042) (“OMIFL” or “the Responsible Entity”), the responsible entity of Gryphon Capital Income Trust (ARSN 623 308 850) (“the Trust”), present their report together with the financial statements of the Trust for the year ended 30 June 2026 and the auditor's report thereon. Principal activities The Trust is a registered managed investment scheme that was constituted on 7 December 2017, registered on 20 December 2017, commenced operations on 21 May 2018 and its units commenced trading on the Australian Securities Exchange (ASX: GCI) on 25 May 2018. The Trust’s investment strategy is to invest in a diversified portfolio of residential mortgage backed securities ("RMBS") and asset backed securities ("ABS") with Australian domiciled issuers in accordance with the Trust's investment guidelines and the provisions of the Trust's constitution. Gryphon Capital Investments Pty Ltd (AFSL 454 552) is the investment manager of the Trust ("Investment Manager"). The Trust did not have any employees during the year. Directors and Senior Management The following persons held office as directors and company secretaries of the Responsible Entity during the year and up to the date of this report: Name Title Frank Tearle Executive Director and Company Secretary Sarah Wiesener Executive Director and Company Secretary Michael Sutherland Executive Director Units on issue Units on issue in the Trust at the end of the year are set out below: As at As at 30 June 2026 30 June 2025 Units Units . Units on issue 635,950,578 524,315,503 1
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Gryphon Capital Income Trust Directors' Report (continued) Review and result of operations During the year, the Trust invested in accordance with the investment objectives and guidelines as set out in the governing documents of the Trust and in accordance with the provision of the Trust’s Constitution (“Trust’s Constitution”). Through September and November 2025, the Trust successfully raised $132.4 million through a private placement to wholesale investors and a unit purchase plan offer to existing unitholders. Due to the positive response to the private placement, and as a result of a significant pipeline of eligible investment opportunities, the Investment Manager successfully raised $90.9 million via an additional private placement in March 2026. The capital raised aims to provide the following benefits to existing unitholders: • Additional scale to expand the Trust’s participation in the RMBS/ABS market, thereby diversifying the portfolio • Expand the Trust’s investor base, providing greater liquidity for unitholders • Reduce the operating costs of the Trust on a cost per unit basis The performance of the Trust, as represented by the results of its operations, was as follows: Year ended Year ended 30 June 2026 30 June 2025 . Operating profit for the year ($'000) 89,859 68,789 Distribution paid and payable ($'000) 89,955 68,209 Distribution (cents per unit) 15.24 16.44 During the year, monthly distributions totaling 15.24 cents per ordinary unit were paid or declared which amounted to $89,955,053. 2
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Gryphon Capital Income Trust Directors' Report (continued) Total Assets As at 30 June 2026 the total assets of the Trust were $1,284,993,844 (2025: $1,059,483,327). Please refer to the Statement of Financial Position for further details. Significant changes in state of affairs In response to identified investment opportunities and strong demand for investment in the Trust, the Responsible Entity completed the following capital raises during the financial year. • On 3 September 2025, a $75.0 million private placement to wholesale investors (37,500,000 units at $2.00 per unit) • On 6 November 2025, a $57.4 million unit purchase plan offer to existing unitholders (28,685,000 units at $2.00 per unit) • On 2 March 2026, a $90.9 million private placement to wholesale investors (45,450,075 units at $2.00 per unit) The Trust's total issued capital at 30 June 2026 is approximately $1.275 billion. During the year, the Responsible Entity appointed a new fund administrator, transitioning from Apex Fund Services to Unity Fund Services Pty Ltd. The migration of fund administration services was completed during the reporting period, with Unity Fund Services Pty Ltd assuming responsibility for the administration of the Trust effective 19 March 2026. Management does not consider this change to have a material impact on the Fund's investment objectives, operations, or financial position. See Note 16, Related Party Transactions for more details. In the opinion of the directors, there were no other changes in the state of affairs of the Trust that occurred during the financial year. Events subsequent to reporting date On 27 July 2026 a distribution of 1.35 cents per ordinary unit which amounted to $8,610,770.83 was approved and paid on 10 August 2026. No other matter or circumstance has arisen since 30 June 2026 that has significantly affected, or may significantly affect: • operations of the Trust in future financial years, or • the results of those operations in future financial years, or • the state of affairs of the Trust in future financial years. Likely developments and expected results of operations The Trust will continue to be managed in accordance with its investment objectives and guidelines and the provisions of the Trust’s constitution. The results of the Trust’s operations will be affected by a number of factors, including the performance of investment markets in which the Trust invests. Investment performance is not guaranteed and future returns may differ from past returns. As investment conditions change over time, past returns should not be used to predict future returns. 3
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Gryphon Capital Income Trust Directors' Report (continued) Indemnification and insurance of directors, officers and auditors During or since the financial year, the Trust has not indemnified or made a relevant agreement to indemnify an officer of the Responsible Entity or auditor of the Trust or any related corporate body against a liability incurred by an officer of the Responsible Entity or auditor of the Trust. In addition, the Trust has not paid, or agreed to pay, a premium in respect of a contract insuring against a liability incurred by an officer of the Responsible Entity or auditor of the Trust. Indemnification of auditors The auditor of the Trust is not indemnified out of the assets of the Trust. Fees paid to and interests held in the Trust by the Responsible Entity or its associates Fees paid to the Responsible Entity and its associates out of the Trust's property during the year are disclosed in Note 16 to the financial statements. No fees were paid out of Trust property to the directors of the Responsible Entity during the year. The number of interests in the Trust held by the Responsible Entity or its associates as at the end of the financial year are disclosed in Note 16 to the financial statements. Interests in the Trust The movement in units on issue in the Trust during the year is disclosed in Note 8 to the financial statements. The value of the Trust's assets and liabilities is disclosed on the statement of financial position and derived using the basis set out in Note 2 to the financial statements. Environmental regulation The operations of the Trust are not subject to any particular or significant environmental regulation under Commonwealth, State or Territory law. Rounding of amounts The Trust is an entity to which ASIC Corporations (Rounding in Financial/Directors' Reports) Instrument 2026/183 applies and, in accordance with that instrument, amounts in the financial statements and Directors' report have been rounded off to the nearest thousand dollars, unless otherwise stated. 4
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Gryphon Capital Income Trust Directors' Report (continued) Auditor's Independence Declaration A copy of the Auditor's Independence Declaration as required under section 307C of the Corporations Act 2001 is set out on page 6. This Directors' report is signed in accordance with a resolution of directors of One Managed Investment Funds Limited, the Responsible Entity. Frank Te arle Director One Ma naged In vestment Fu nds Li mited Sydney 21 Au gust 20 26 5
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PricewaterhouseCoopers, ABN 52 780 433 757 480 Queen Street, BRISBANE QLD 4000, GPO Box 150, BRISBANE QLD 4001 T: +61 7 3257 5000, F: +61 7 3257 5999, www.pwc.com.au pwc.com.au Liability limited by a scheme approved under Professional Standards Legislation. Auditor’s Independence Declaration As lead auditor of Gryphon Capital Income Trust's financial report for the year ended 30 June 2026, I declare that, to the best of my knowledge and belief, there have been: a) no contraventions of the auditor independence requirements of the Corporations Act 2001 in relation to the audit of the financial report; and b) no contraventions of any applicable code of professional conduct in relation to the audit of the financial report. Kristy van Horck Brisbane Partner 21 August 2026 PricewaterhouseCoopers
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Gryphon Capital Income Trust Statement of profit or loss and other comprehensive income Notes Year ended 30 June 2026 Year ended 30 June 2025 $'000 $'000 Investment income Interest income from financial assets at fair value 98,146 72,911 Interest income from receivables/loans at amortised cost 1,554 2,342 Net gains/(losses) on financial assets at fair value 5 69 752 Total net investment income 99,769 76,005 Expenses Responsible Entity fees 358 280 Investment Management fees 16(a) 8,511 6,004 Administrative expenses 709 578 Other expenses 332 354 Total operating expenses 9,910 7,216 Operating profit for the financial year 8 89,859 68,789 Other comprehensive income - - Total comprehensive income for the financial year 89,859 68,789 Earnings per unit for profit attributable to unitholders of the Trust Basic and diluted earnings per unit (cents) 10 15.27 16.57 The above statement of profit or loss and other comprehensive income should be read in conjunction with the accompanying notes. 7
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Gryphon Capital Income Trust Statement of financial position Notes As at 30 June 2026 As at 30 June 2025 $'000 $'000 Assets Cash and cash equivalents 11 35,549 16,148 Other assets 13 5,289 3,998 Financial assets at fair value 6 1,240,718 1,034,302 Loans at amortised cost 7, 16 3,437 5,035 Total assets 1,284,993 1,059,483 Liabilities Distributions payable 9 8,776 6,659 Payables 14 1,071 852 Total liabilities 9,847 7,511 Net assets attributable to unitholders - equity 8 1,275,146 1,051,972 The above statement of financial position should be read in conjunction with the accompanying notes. 8
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Gryphon Capital Income Trust Statement of changes in equity Notes Year ended 30 June 2026 Year ended 30 June 2025 $'000 $'000 Total equity at the beginning of the financial year 1,051,972 673,885 space Comprehensive income for the financial year Profit for the year 89,859 68,789 Total comprehensive income for the financial year 89,859 68,789 Transactions with unitholders Applications 8 223,270 377,507 Distributions to unitholders 8 (89,955) (68,209) Total transactions with unitholders 133,315 309,298 Total net assets attributable to unitholders - equity at the end of the financial year 1,275,146 1,051,972 The above statement of changes in equity should be read in conjunction with the accompanying notes. 9
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Gryphon Capital Income Trust Statement of cash flows Notes Year ended 30 June 2026 Year ended 30 June 2025 $'000 $'000 Cash flows from operating activities Interest income received from cash deposits and loans at amortised cost 1,377 2,484 Interest income from financial assets at fair value 97,155 71,615 Proceeds from sale of financial assets 310,549 156,892 Receipt of principal repayments on financial assets 18,491 36,719 Purchase of financial assets (535,552) (629,383) Responsible Entity fees paid (320) (273) Investment Management fees paid (8,324) (5,775) Administrative expenses paid (423) (465) Other expenses paid (582) (459) Net cash inflow/(outflow) from operating activities 12 (117,629) (368,645) Cash flows from investing activities Repayment of loan 1,598 1,520 Net cash inflow/(outflow) from investing activities 1,598 1,520 Cash flows from financing activities Proceeds from applications by unitholders 223,270 377,507 Distributions paid to unitholders (87,838) (66,214) Net cash inflow/(outflow) from financing activities 135,432 311,293 Net increase/(decrease) in cash and cash equivalents 19,401 (55,832) Cash and cash equivalents at the beginning of the year 16,148 71,980 Cash and cash equivalents at the end of the year 12(b) 12(c) 35,549 16,148 Non-cash financing activities - - The above statement of cash flows should be read in conjunction with the accompanying notes. 10
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Gryphon Capital Income Trust 11 Notes to the Financial Statements Contents Page 1. General information 12 2. Summary of material accounting policies 12 3. Financial risk management 19 4. Fair value measurements 25 5. Net gains/(losses) on financial assets at fair value 28 6. Financial assets at fair value 28 7. Loans at amortised cost 28 8. Net assets attributable to unitholders - equity 28 9. Distributions to unitholders 29 10. Earnings per unit 29 11. Cash and cash equivalents 30 12. Reconciliation of operating profit to net cash inflow/(outflow) from operating activities 30 13. Other assets 31 14. Payables 31 15. Remuneration of auditor 31 16. Related party transactions 32 17. Segment information 35 18. Events occurring after the reporting period 35 19. Significant events 35 20. Contingent assets and liabilities and commitments 35
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Gryphon Capital Income Trust Notes to the Financial Statements 1. General Information These financial statements cover the Gryphon Capital Income Trust (the “Trust”) as an individual entity. The Trust was constituted on 7 December 2017, registered on 20 December 2017, commenced operations on 21 May 2018 and its units commenced trading on the Australian Securities Exchange (ASX: GCI) on 25 May 2018. The Trust is domiciled in Australia. The Responsible Entity of the Trust is One Managed Investment Funds Limited (ABN 47 117 400 987, AFSL 297 042) (the “Responsible Entity"). The Responsible Entity’s registered office is Level 16, Governor Macquarie Tower, 1 Farrer Place, Sydney NSW 2000. The investment manager of the Trust is Gryphon Capital Investments Pty Ltd (ABN 25 167 850 535) (the "Investment Manager"). The assets of the Trust are held by One Managed Investment Funds Limited and its appointed custodian BNY. The Trust’s investment strategy is to invest in a diversified portfolio of residential mortgage backed securities ("RMBS") and asset backed securities ("ABS") with Australian domiciled issuers in accordance with the Trust's investment guidelines and the provisions of the Trust's constitution. The financial statements were authorised for issue by the directors of the Responsible Entity on the date the Directors' declaration was signed. The directors of the Responsible Entity have the power to amend and reissue the financial statements. 2. Summary of material accounting policies The material accounting policies applied in the preparation of these financial statements are set out below. These policies have been consistently applied to all years presented, unless otherwise stated. (a) Basis of preparation The general purpose financial statements have been prepared in accordance with Australian Accounting Standards, and interpretations issued by the Australian Accounting Standards Board (AASB) and the Corporations Act 2001 in Australia. The financial statements are prepared on the basis of fair value measurement of assets and liabilities, except where otherwise stated. The financial statements are presented in Australian dollars, which is the Trust's functional currency. The statement of financial position is presented on a liquidity basis. Assets and liabilities are presented in decreasing order of liquidity and are not distinguished between current and non-current. The amount to be recovered or settled in relation to these balances remains subject to the performance of the Trust and its operations in accordance with the Trust's constitution. Investors in the Trust have no rights to redeem and can only sell units on the ASX. However, the Responsible Entity may undertake a buy-back of units provided it complies with the Corporations Act 2001 and ASX Listing Rules. (i) Compliance with International Financial Reporting Standards (IFRS) The financial statements of the Trust also comply with IFRS as issued by the International Accounting Standards Board (IASB). 12
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Gryphon Capital Income Trust Notes to the Financial Statements 2. Summary of material accounting policies (continued) (a) Basis of preparation (continued) (ii) New and amended standards adopted by the Trust There are no standards, interpretations or amendments to existing standards that are effective for the first time for the financial year beginning 1 July 2025 that have a material impact on the amounts recognised in the prior periods or will affect the current or future periods. (iii) New standards and interpretations not yet adopted A number of new accounting standards and amendments to standards are effective for annual reporting beginning after 1 July 2026, and have not been early adopted in preparing these financial statements. The principal standards and amendments that may be relevant to the Trust are: AASB 2024-2 Amendments to Australian Accounting Standards–Classification and Measurement of Financial Instruments [AASB 7 & AASB 9], effective for annual reporting periods beginning on or after 1 January 2026. The amendments include clarification on the derecognition of financial liabilities settled via electronic payment systems and guidance on assessing contractual cash flow characteristics for financial assets with environmental, social, and governance (ESG) or similar features. AASB 2024-3 Amendments to Australian Accounting Standards–Annual Improvements Volume 11, effective for annual reporting periods beginning on or after 1 January 2026. The amendments introduce minor clarifications and improvements across a number of Australian Accounting Standards to enhance consistency in application and disclosure requirements. AASB 18 Presentation and Disclosure in Financial Statements, effective for annual reporting periods beginning on or after 1 January 2027. The standard is required to be applied retrospectively and replaces AASB 101 Presentation of Financial Statements. AASB 18 introduces new presentation and disclosure requirements aimed at improving the communication of financial performance, including requirements relating to management-defined performance measures, specified subtotals and enhanced aggregation and disaggregation principles. The Trust is currently assessing the impact of these new standards and amendments on its financial statements. No other new standards or amendments to standards are expected to have a material effect on the financial statements of the Trust. 13
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Gryphon Capital Income Trust Notes to the Financial Statements 2. Summary of material accounting policies (continued) (b) Going concern basis These annual financial statements have been prepared on a going concern basis. (c) Financial instruments (i) Classification In accordance with AASB 9 Financial Instruments: Recognition and Measurement, the Trust's investments are categorised in one of three categories: amortised cost, fair value through other comprehensive income, and fair value through profit or loss. The Trust classifies its investments based on its business model for managing those financial assets and the contractual cash flow characteristics of the financial assets. Certain debt securities may be held within a business model whose objective is achieved by collecting the contractual cash flows, which represent solely payments of principal and interest (SPPI), as well as selling them. Such debt securities are classified as fair value through other comprehensive income. The remaining debt securities are classified at fair value through profit or loss on the basis their contractual cash flows do not represent SPPI. The Trust's other financial assets include a Manager Loan, which is held for collection and classified at amortised cost. All financial assets held in the Trust are managed by the Investment Manager in accordance with the Trust's investment guidelines. (ii) Recognition/derecognition The Trust recognises financial assets and financial liabilities on the date it becomes party to the contractual agreement (trade date) and recognises changes in the fair value of the financial assets or financial liabilities from this date. Financial assets are derecognised when the rights to receive cash flows from the financial assets have expired or the Trust has transferred substantially all the risks and rewards of ownership. Financial liabilities are derecognised when the obligation under the liabilities are discharged, cancelled or expired. (iii) Measurement At initial recognition, the Trust measures a financial asset at its fair value plus, in the case of a financial asset not at fair value through profit or loss (FVPL), transaction costs that are directly attributable to the acquisition of the financial asset. Transaction costs of financial assets carried at FVPL are expensed in the statement of profit or loss and other comprehensive income. 14
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Gryphon Capital Income Trust Notes to the Financial Statements 2. Summary of material accounting policies (continued) (c) Financial instruments (continued) Financial Assets and liabilities • Financial assets and liabilities at fair value through other comprehensive income At initial recognition, the Trust measures a financial asset at its fair value. Transaction costs of financial assets carried at fair value through other comprehensive income are amortised in the statement of profit or loss and other comprehensive income using the effective interest method. Subsequent to initial recognition, gains and losses arising from changes in the fair value of ‘financial assets or liabilities at fair value through other comprehensive income’ category are recognised in other comprehensive income in the period in which they arise, and they are reclassified to profit or loss when they are derecognised. For further details on how the fair values of financial instruments are determined, please see Note 4 to the financial statements. • Financial assets and liabilities at fair value through profit or loss At initial recognition, the Trust measures a financial asset at its fair value. Transaction costs of financial assets carried at fair value through profit or loss are expensed in the statement of profit or loss and other comprehensive income. Subsequent to initial recognition, all financial assets and liabilities at fair value through profit or loss are measured at fair value. Gains and losses arising from changes in the fair value of ‘financial assets or liabilities at fair value through profit or loss’ category are recognised in the profit or loss in the period in which they arise. For further details on how the fair values of financial instruments are determined, please see Note 4 to the financial statements. • Financial assets and liabilities at amortised cost At initial recognition, the Trust measures financial assets at amortised cost at fair value including directly attributable costs. Subsequent to initial recognition, all financial assets at amortised cost are measured using the effective interest rate method less any allowance for expected credit losses. Any gain or loss arising on derecognition is recognised directly in profit or loss and presented in other gains/(losses). Impairment losses are presented as a separate line item in the statement of profit or loss. Cash and cash equivalents, receivables and loan assets (manager loan) are carried at amortised cost. 15
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Gryphon Capital Income Trust Notes to the Financial Statements 2. Summary of material accounting policies (continued) (c) Financial instruments (continued) (iv) Impairment At each reporting date, the Trust estimates a loss allowance on each of the financial assets carried at amortised cost (cash and cash equivalents and receivables) at an amount equal to the lifetime expected credit losses if the credit risk has increased significantly since initial recognition. If, at the reporting date, the credit risk has not increased significantly since initial recognition, the Trust measures the loss allowance at an amount equal to 12-month expected credit losses. Significant financial difficulties of the counterparty, probability that the counterparty will enter bankruptcy or financial reorganisation, and default in payments are all considered indicators that the asset is credit impaired. If the credit risk increases to the point that it is considered to be credit impaired, interest income is calculated based on the net carrying amount adjusted for the loss allowance. A significant increase in credit risk is defined by management as any contractual payment which is more than 30 days past due. Any contractual payment which is more than 90 days past due is considered credit impaired. The expected credit loss (ECL) approach is based on the difference between the contractual cash flows due in accordance with the contract and all the cash flows that the Trust expects to receive. The shortfall is then discounted at an approximation to the asset's original effective interest rate. The amount of the impairment loss is recognised in the statement of profit or loss and comprehensive income within other expenses. When a trade receivable for which an impairment allowance had been recognised becomes uncollectible in a subsequent period, it is written off against the allowance account. Subsequent recoveries of amounts previously written off are credited against other expenses in the statement of profit or loss and other comprehensive income. (v) Offsetting financial instruments Financial assets and liabilities are offset and the net amount is reported in the statement of financial position when the Trust has a legally enforceable right to offset the recognised amounts, and there is an intention to settle on a net basis or realise the asset and settle the liability simultaneously. As at the end of the reporting period, there are no financial assets or liabilities offset or with the right to offset in the statement of financial position. (d) Net assets attributable to unitholders Units in the Trust are listed on the ASX, traded by unitholders and are therefore classified as equity. The units can be traded on the ASX for cash based on listed price. While with a listed investment trust, liquidity is generally expected to exist in the secondary market (ASX), there are no guarantees that an active trading market with sufficient liquidity will be available. 16
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Gryphon Capital Income Trust Notes to the Financial Statements 2. Summary of material accounting policies (continued) (d) Net assets attributable to unitholders (continued) Under AASB 132 Financial instruments: Presentation, puttable financial instruments are classified as equity where certain strict criteria are met. The Trust classifies the net assets attributable to unit holders as equity as they satisfy the following criteria: • the puttable financial instrument entitles the holder to a pro-rata share of net assets in the event of the Trust’s liquidation; • the puttable financial instrument is in the class of instruments that is subordinate to all other classes of instruments and class features are identical; • the puttable financial instrument does not include any contractual obligations to deliver cash or another financial asset, or to exchange financial instruments with another entity under potentially unfavourable conditions to the Trust, and it is not a contract settled in the Trust’s own equity instruments; and • the total expected cash flows attributable to the puttable financial instrument over the life are based substantially on the profit or loss. (e) Cash and cash equivalents For the purpose of presentation in the statement of cash flows, cash and cash equivalents includes cash on hand, deposits held at call with financial institutions and other short term, highly liquid investments with original maturities of three months or less that are readily convertible to known amounts of cash and which are subject to an insignificant risk of changes in value. Payments and receipts relating to the purchase and sale of investment securities are classified as cash flows from operating activities, as trading of these securities represent the Trust's main income generating activity. (f) Interest income The Trust generates interest income from its investments in financial assets, loans, and cash investments. Interest income is recognised daily as it accrues, taking into account the actual interest rate on the financial asset and is recognised in the statement of profit or loss and other comprehensive income. Interest income from financial assets at amortised cost is recognised on a time-proportionate basis using the effective interest method and includes interest from cash and cash equivalents. Interest from financial assets at fair value is determined based on the contractual coupon interest rate. (g) Expenses All expenses are recognised in the Statement of profit or loss and other comprehensive income on an accruals basis. 17
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Gryphon Capital Income Trust Notes to the Financial Statements 2. Summary of material accounting policies (continued) (h) Income tax Under current legislation, the Trust is not subject to income tax provided it attributes the entirety of its taxable income to its unitholders. Financial instruments at fair value may include unrealised capital gains. Should such a gain be realised, that portion of the gain that is subject to capital gains tax will be distributed so that the Trust is not subject to capital gains tax. Realised net capital losses are not distributed to unitholders but are retained in the Trust to be offset against any realised capital gains in future years. If realised capital gains exceed realised capital losses, the excess will be classified within unitholders' equity. (i) Distributions The Trust may distribute its distributable income, in accordance with the Trust’s constitution, to unitholders by cash. The distributions are recognised in the statement of changes in equity. (j) Other receivables Receivables may include amounts for interest earned by the Trust. Interest is accrued at the end of each reporting period from the time of last payment in accordance with the policy set out in Note 2(f). Amounts are generally received within 30 days of being recorded as receivables. (k) Payables Payables include liabilities, accrued expenses owed by the Trust and any distributions declared which are unpaid as at the end of the reporting period. A separate distribution payable is recognised in the statement of financial position. (l) Applications and redemptions The Trust is a closed-end vehicle in that there are no redemptions by unitholders. Instead, while the Trust is listed, unitholders wishing to exit their investment will be able to do so via the ASX. From time to time, the Trust may raise additional capital through the issue of additional units in the Trust which are represented by applications and are disclosed in the statement of changes in equity of the Trust. 18
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Gryphon Capital Income Trust Notes to the Financial Statements 2. Summary of material accounting policies (continued) (m) Goods and services tax (GST) The GST incurred on the costs of various services provided to the Trust by third parties such as audit fees, custodial services and investment management fees have been passed onto the Trust. The Trust qualifies for reduced input tax credits at a rate of at least 55% hence investment management fees, custodial fees and other expenses have been recognised in the statement of profit or loss and other comprehensive income net of the amount of GST recoverable from the Australian Taxation Office (ATO). The net amount of GST recoverable from the ATO is included in receivables in the statement of financial position. Cash flows relating to GST are included in the statement of cash flows on a gross basis. Accounts payable are inclusive of GST. (n) Use of estimates and judgments The Trust makes estimates and assumptions that affect the reported amounts of assets and liabilities. Estimates are continually evaluated and based on historical experience and other factors, including expectations of future events that are believed to be reasonable under the circumstances. The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the period in which the estimate is revised if the revision affects only that period or in the period of the revision and future periods if the revision affects both current and future periods. The assumptions and methods used in the determination of the fair value of investments are outlined in Note 3 of these Financial Statements. The Trust's investments are fair valued using external valuation techniques which are validated and reviewed by the Responsible Entity in conjunction with the Investment Manager. For certain other financial instruments, including other receivables and payables, the carrying amounts approximate fair value due to the short-term nature of these financial instruments. In accordance with AASB 9, the Trust applies an expected credit loss (ECL) impairment model, which has not materially impacted the Trust. Please see Note 3 for more information on credit risk. (o) Rounding of amounts The Trust is an entity to which ASIC Corporations (Rounding in Financial/Directors’ Reports) Instrument 2026/183 relating to the “rounding off” of amounts in the financial statements. Amounts in the financial statements have been rounded to the nearest thousand dollars unless otherwise indicated. 3. Financial Risk Management The Trust’s activities expose it to a variety of financial risks: market risk (including price risk and interest rate risk), credit risk and liquidity risk. The Trust’s overall financial risk management programme focuses on ensuring compliance with the Trust's investment guidelines. It also seeks to maximise the returns derived for the level of risk to which the Trust is exposed and seeks to minimise potential adverse effects on the Trust’s financial performance. The Trust's policy allows it to use derivative financial instruments in managing its financial risks. All securities investments present a risk of loss of capital. The maximum loss of capital on long RMBS and ABS is limited to the fair value of those positions. 19
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Gryphon Capital Income Trust Notes to the Financial Statements 3. Financial Risk Management (continued) The investments of the Trust, and associated risks, are managed by the Investment Manager under an Investment Management Agreement ("IMA") approved by the Responsible Entity, and containing the investment strategy and guidelines of the Trust. The Investment Manager has deliberately positioned the Trust’s investments with significant protections against market stress. The Investment Manager undertakes regular stress testing of the bondholder protections (using the APRA ‘1 in 200-year catastrophic event’ scenario) and ongoing surveillance and monitoring of the investment’s performance and underlying collateral, to ensure the continued robustness of these protections. The Trust uses different methods to measure and manage different types of risk to which it is exposed. These methods are explained below. (a) Market risk (i) Price risk Price risk is the risk that the fair value of investments will change as a result of changes in market prices, whether those changes are caused by factors specific to the individual security or factors affecting all instruments in the market. Changes to the fair value of an investment will impact the Trust’s net asset value. The Investment Manager manages this risk through the daily review of the carrying value of each of the assets held by the Trust. All Trust fixed income investments are independently priced on a daily basis by a leading third party security pricing provider. Australian fixed income securities, including RMBS and ABS, are largely traded ‘over-the-counter’ and are not priced or traded via an exchange. The market pricing for such securities is driven by observable secondary market trades or the pricing of comparable new issues. The Trust is an investor (not a trader), and as such, short-term fluctuations in bond values do not shape investment decisions nor does the Trust rely on short-term trading profits to meet its targeted investment returns. Additionally, unrealised gains and losses do not impact the Trust’s ability to pay monthly distributions. The table at Note 3(b) summarises the sensitivities of the Trust's assets and liabilties to price risk. The analysis is based on the reasonably possible shift that the investment portfolio of the Trust moves by +/-10% (2025: +/-10%). 20
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Gryphon Capital Income Trust Notes to the Financial Statements 3. Financial Risk Management (continued) (a) Market risk (continued) (ii) Interest rate risk Interest rate risk is the risk that a financial asset’s value will fluctuate as a result of changes in market interest rates. The Trust's assets are primarily invested in floating rate RMBS and ABS whose interest rates reset monthly. Absolute returns on floating rate RMBS and ABS therefore rise and fall largely in correlation with the RBA Cash Rate. The table below summarises the Trust’s exposure to interest rate risk at 30 June 2026 and 30 June 2025. Floating interest rate Fixed interest rate Non- interest bearing Total $'000 $'000 $'000 $'000 As at 30 June 2026 Financial Assets Cash and cash equivalents 35,549 - - 35,549 Other receivables - - 5,263 5,263 Financial assets at fair value through profit and loss 1,154,752 - - 1,154,752 Financial assets at fair value through other comprehensive income 85,966 - - 85,966 Loans at amortised cost - 3,437 - 3,437 Total assets 1,276,267 3,437 5,263 1,284,967 Financial Liabilities Distributions payable - - Payables - - (8,776) (1,071) (8,776) (1,071) Total liabilities - - (9,847) (9,847) Net exposure 1,276,267 3,437 (4,584) 1,275,120 21
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Gryphon Capital Income Trust Notes to the Financial Statements 3. Financial Risk Management (continued) (a) Market risk (continued) (ii) Interest rate risk (continued) Floating interest rate Fixed interest rate Non-interest bearing Total $'000 $'000 $'000 $'000 As at 30 June 2025 Financial Assets Cash and cash equivalents 16,148 - - 16,148 Other assets - - 3,998 3,998 Financial assets at fair value through profit and loss 988,253 - - 988,253 Financial assets at fair value through other comprehensive income 46,049 - - 46,049 Loans at amortised cost - 5,035 - 5,035 Total assets 1,050,450 5,035 3,998 1,059,483 Financial Liabilities Payables - - Distributions payable - - (852) (6,659) (852) (6,659) Total liabilities - - (7,511) (7,511) Net exposure 1,050,450 5,035 (3,513) 1,051,972 The table at Note 3(b) summarises the impact of an increase/(decrease) of interest rates on the Trust’s operating profit and net assets attributable to unitholders through changes in the fair value of financial instruments and changes in future cash flows, as applicable. The analysis is based on the assumption that the interest rates changed by +/- 100 basis points (2025: +/- 100 basis points) from the year end rates with all other variables held constant. (b) Summarised sensitivity analysis The following table summarises the sensitivity of the Trust’s operating profit and net assets attributable to unitholders to market risks. The reasonably possible movements in the risk variables have been determined based on the Investment Manager's best estimate, having regard to a number of factors, including historical levels of changes in interest rates and the historical correlation of the Trust’s investments with the relevant benchmark and market volatility. However, actual movements in the risk variables may be greater or less than anticipated due to a number of factors, including unusually large market movements resulting from changes in the performance of and/or correlation between the performances of the economies, markets and securities in which the Trust invests. As a result, historic variations in risk variables should not be used to predict future variances in the risk variables. 22
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Gryphon Capital Income Trust Notes to the Financial Statements 3. Financial Risk Management (continued) (b) Summarised sensitivity analysis (continued) . Impact on operating profit/net assets attributable to unitholders Price Risk Interest rate risk +10% -10% +100bps -100bps $'000 $'000 $'000 $'000 . As at 30 June 2026 124 (124) (531) 531 As at 30 June 2025 103 (103) (470) 472 The Trust has no foreign exchange exposure. (c) Credit risk Credit risk is the risk that a counterparty will be unable to pay amounts when they fall due. The Investment Manager manages credit risk by undertaking a detailed due diligence process prior to entering into transactions with counterparties and ongoing daily monitoring of the credit exposures. The initial due diligence process is detailed in the investment process of the Investment Manager and addresses aspects relevant to an assessment of the credit risk and includes risk assessments of both a qualitative and quantitative nature. In accordance with the Trust’s policy, the Investment Manager monitors the Trust’s credit position on an ongoing basis. The exposure to credit risk on these financial assets is considered low because the Investment Manager actively monitors the portfolio and none of these assets are impaired nor past due. Concentrations of credit risk are minimised primarily by: • ensuring counterparties, together with the respective credit limits, are approved; and • ensuring that transactions are undertaken with a large number of counterparties. The Investment Manager further seeks to mitigate credit risk by adhering to the investment parameters of the Trust which have been designed in a manner that seeks to mitigate credit risk by ensuring the portfolio is diversified. The Investment Manager determines credit risk and measures expected credit losses for financial assets measured at amortised cost using probability of default, exposure at default and loss given default. The Investment Manager considers both historical analysis and forward looking information in determining any expected credit loss. The Investment Manager considers the probability of default to be close to zero as these instruments have a low risk of default and the counterparties have a strong capacity to meet their contractual obligations in the near term. As a result, no loss allowance has been recognised based on 12-month expected credit losses as any such impairment would be wholly insignificant to the Trust. (i) Debt securities The Trust invests in RMBS and ABS which may be rated or credit assessed by one or more of S&P Global, Moody's or Fitch Ratings or an independent, third party consultant that applies credit rating criteria consistent with the credit rating criteria of S&P Global's, Moody's or Fitch's Ratings. The Trust's investment guidelines require at least 50% of the financial assets to be rated investment grade (BBB- rating or higher). 23
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Gryphon Capital Income Trust Notes to the Financial Statements 3. Financial Risk Management (continued) (c) Credit risk (continued) An analysis of debt by rating is set out in the table below. Rating 30 June 2026 % 30 June 2025 % Asset Backed Securities AAA 31,474 19,128 AA 112,290 78,334 A 348,703 309,857 BBB 369,508 314,761 Total Investment Grade 861,975 69% 722,080 70% BB 257,764 231,505 B 77,614 56,588 NR 43,365 24,129 Total Non-investment Grade 378,743 31% 312,222 30% Total 1,240,718 100% 1,034,302 100% (ii) Cash and cash equivalents The exposure to credit risk for cash and cash equivalents is considered low as all counterparties are investment grade Australian Authorised Deposit Institutions and all funds are placed on an ‘at call’ basis. (iii) Manager Loan The Trust's investment in the Manager Loan measured at amortised cost is considered to have low credit risk. The loss allowance on the Manager Loan is not deemed material as it has a low risk of default and the counterparty has a strong capacity to meet its contractual cash flow obligations in the near term. (iv) Other The Trust is not materially exposed to credit risk on other financial assets. (v) Maximum exposure to credit risk The maximum exposure to credit risk before any credit enhancements at the end of each reporting period is the carrying amount of the financial assets. None of these assets are impaired nor past due but not impaired. (vi) Settlement of securities transactions All transactions in listed securities are settled/paid for upon delivery using approved brokers. The risk of default is considered low, as delivery of securities sold is only made once the broker has received payment. Payment is made once purchase orders on the securities have been received by the broker. The trade will fail if either party fails to meet its obligations. (d) Liquidity risk Liquidity risk is the risk that an entity will encounter difficulty in meeting obligations associated with financial liabilities. The Investment Manager monitors the Trust’s cash flow requirements and undertakes cash flow forecasts including capital budgeting on a daily basis. Cash flow reconciliations are undertaken daily to ensure all income and expenses are managed in accordance with contracted obligations. 24
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Gryphon Capital Income Trust Notes to the Financial Statements 3. Financial Risk Management (continued) (d) Liquidity risk (continued) The key aspects of liquidity management for the Trust are: • It is a closed-end trust so it does not require liquidity to fund unitholder redemptions • Unitholder distributions and Trust expenses are funded out of net investment income excluding unrealised capital gains and losses • The Trust receives monthly interest on its investment portfolio • RMBS and ABS investments have structural protections to reduce liquidity risk for investors (i) Maturities of non-derivative financial liabilities The table below analyses the Trust’s non-derivative financial liabilities into relevant maturity groupings based on the remaining period at reporting date to the contractual maturity date. The amounts in the table are the contractual undiscounted cash flows. Less than 1 month 1 to 6 months 6 to 12 months Over 12 months Total As at 30 June 2026 $'000 $'000 $'000 $'000 $'000 Distributions payable 8,776 - - - 8,776 Payables 1,071 - - - 1,071 Contractual cash flows (excluding derivatives) 9,847 - - - 9,847 Less than 1 month 1-6 months 6-12 months Over 12 months Total As at 30 June 2025 $'000 $'000 $'000 $'000 $'000 Distributions payable 6,659 - - - 6,659 Payables 852 - - - 852 Contractual cash flows (excluding derivatives) 7,511 - - - 7,511 4. Fair value measurement The Trust measures and recognises the assets and liabilities at fair value through profit or loss on a recurring basis. The Trust has no assets or liabilities measured at fair value on a non-recurring basis in the current reporting period. AASB 13 Fair Value Measurement requires disclosure of fair value measurements by level of the following fair value measurement hierarchy: • Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1); • Observable prices from an independent pricing provider in markets which are not defined as active (level 2); and • Inputs for the asset or liability that are not based on observable market data (unobservable inputs) (level 3). 25
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Gryphon Capital Income Trust Notes to the Financial Statements 4. Fair value measurement (continued) The Trust values its investments in accordance with the accounting policies set out in Note 2 to the financial statements. The Trust's investments in RMBS and ABS are classified as financial assets and the Trust relies on daily security pricing provided by a specialist, independent fixed income pricing provider for the valuation of its financial assets. (a) Fair value in an active market (level 1) The fair value of financial assets and liabilities traded in active markets is based on last traded prices at the end of the reporting period without any deduction for estimated future selling costs. For the majority of financial assets and liabilities, information provided by the quoted market independent pricing services is relied upon for valuation. A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from an exchange, dealer, broker, industry group, pricing service, or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm's length basis. An active market is a market in which transactions for the financial asset or liability take place with sufficient frequency and volume to provide pricing information on an ongoing basis. (b) Fair value in an inactive market (level 2) Financial instruments are valued using inputs other than quoted prices covered in Level 1. These other inputs include quoted prices that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices). The inputs included in this level encompass quoted prices in active markets for similar assets or liabilities, quoted prices in markets in which there are few transactions for identical or similar assets or liabilities. Financial instruments that are valued using other inputs that are not quoted prices but are observable for the assets or liabilities also fall into this categorisation. (c) Fair value in an unquoted market (level 3) Financial instruments that have been valued, in whole or in part, by using valuation techniques or models that are based on unobservable inputs that are neither supported by prices from observable current market transactions in the same instrument nor are they based on available market data. Unobservable valuation inputs are determined based on the best information available, which might include the entity’s own data, reflecting its assumptions as well as best practices carried out or undertaken by other market participants. These valuation techniques are used to the extent that observable inputs are not available. 26
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Gryphon Capital Income Trust Notes to the Financial Statements 4. Fair value measurement (continued) Recognised fair value measurements The tables below set out the Trust's financial assets measured at fair value according to the fair value hierarchy: Level 1 Level 2 Level 3 Total $'000 $'000 $'000 $'000 At 30 June 2026 Financial assets at fair value RMBS and ABS at fair value through other comprehensive income - 85,966 - 85,966 RMBS and ABS at fair value through profit or loss - 1,154,752 - 1,154,752 Total financial assets at fair value - 1,240,718 - 1,240,718 Level 1 Level 2 Level 3 Total $'000 $'000 $'000 $'000 At 30 June 2025 Financial assets at fair value RMBS and ABS at fair value through other comprehensive income - 46,049 - 46,049 RMBS and ABS at fair value through profit or loss - 988,253 - 988,253 Total financial assets at fair value - 1,034,302 - 1,034,302 27
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Gryphon Capital Income Trust Notes to the Financial Statements 4. Fair value measurement (continued) Transfer between levels There have been no transfers between levels for the year ended 30 June 2026 (2025: Nil). 5. Net gains/(losses) on financial assets at fair value Year ended Year ended 30 June 2026 30 June 2025 $'000 $'000 Financial Assets Net gains/(losses) on financial assets at fair value 69 752 Total net gains/(losses) on financial assets at fair value 69 752 6. Financial assets at fair value As at As at 30 June 2026 30 June 2025 $'000 $'000 . RMBS and ABS at fair value through other comprehensive income 85,966 46,049 RMBS and ABS at fair value through profit or loss 1,154,752 988,253 Total financial assets at fair value 1,240,718 1,034,302 7. Loans at amortised cost As at As at 30 June 2026 30 June 2025 $'000 $'000 Loan to Gryphon Capital Management Pty Ltd - Manager loan 3,437 5,035 Total loans at amortised cost 3,437 5,035 Refer to Note 16(k) for further details of these loans. 8. Net assets attributable to unitholders - equity Movements in number of units and net assets attributable to unitholders during the year were as follows: Year ended 30 June 2026 Year ended 30 June 2025 Units $'000 Units $'000 524,315,503 1,051,972 335,561,923 673,885 111,635,075 223,270 188,753,580 377,507 - (89,955) - (68,209) - 89,859 - 68,789 Opening balance Applications Distributions to unitholders Profit for the year Closing balance 635,950,578 1,275,146 524,315,503 1,051,972 28
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Gryphon Capital Income Trust Notes to the Financial Statements 8. Net assets attributable to unitholders - equity (continued) As stipulated within the Trust's constitution, each unit represents a right to an individual interest in the Trust and does not extend to a right to the underlying assets of the Trust. There are no separate classes of units and each unit has the same rights attaching to it as all other units of the Trust. Capital risk management The Trust considers its net assets attributable to unitholders as capital. There is minimal capital risk movement as redemptions are not allowed back to the Trust. 9. Distributions to unitholders The following distributions were paid/payable during the year: Year ended 30 June 2026 Year ended 30 June 2026 Year ended 30 June 2025 Year ended 30 June 2025 $'000 cents per unit $'000 cents per unit Distributions 31 July 6,973 4,799 31 August 6,816 4,899 30 September 6,984 4,765 31 October 7,191 4,765 30 November 7,145 5,621 31 December 7,204 5,914 31 January 7,204 5,914 28 February 6,732 5,327 31 March 8,077 5,914 30 April 8,140 6,816 31 May 8,713 6,816 30 June (payable) 8,776 1.33 1.30 1.24 1.28 1.21 1.22 1.22 1.14 1.27 1.28 1.37 1.38 6,659 1.43 1.46 1.42 1.42 1.34 1.41 1.41 1.27 1.41 1.30 1.30 1.27 Total distributions 89,955 15.24 68,209 16.44 10. Earnings per unit Earnings per unit amounts are calculated by dividing operating profit attributable to unitholders before distributions by the weighted average number of units outstanding during the year. Year ended Year ended 30 June 2026 30 June 2025 Operating profit attributable to unitholders ($'000) 89,859 68,789 Weighted average number of units on issue 588,626,925 415,053,736 Basic and diluted earnings per unit (cents) 15.27 16.57 29
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Gryphon Capital Income Trust Notes to the Financial Statements 11. Cash and cash equivalents As at As at 30 June 2026 30 June 2025 $'000 $'000 . Cash at Bank 35,549 16,148 Total cash and cash equivalents 35,549 16,148 12. Reconciliation of operating profit to net cash inflow/(outflow) from operating activities Year ended Year ended 30 June 2026 30 June 2025 $'000 $'000 (a) Reconciliation of operating profit to net cash inflow/(outflow) from operating activities Profit of the year 89,859 68,789 Proceeds from sale of financial assets 310,549 156,892 Repayment of principal of financial assets 18,491 36,719 Purchase of financial assets (535,552) (629,383) Change in realised gain/loss on financial assets at fair value (18) (176) Change in unrealised gain/loss on financial assets at fair value (51) (576) Net change in receivables (1,125) (1,211) Net change in accounts payable 218 301 Net cash inflow/(outflow) from operating activities (117,629) (368,645) (b) Components of cash and cash equivalents Cash as at the end of the financial year as shown in the statement of cash flows is reconciled to the statement of financial position as follows: Cash and cash equivalents 35,549 16,148 35,549 16,148 (c) Non-cash financing activities During the year, there were no non-cash financing activities. - - 30
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Gryphon Capital Income Trust Notes to the Financial Statements 13. Other assets As at As at 30 June 2026 30 June 2025 $'000 $'000 . Prepaid expenses 26 - Interest receivable 5,014 3,846 GST receivable 249 152 Total other assets 5,289 3,998 14. Payables As at As at 30 June 2026 30 June 2025 $'000 $'000 . Responsible Entity fees payable 65 27 Management fees payable 810 623 Administrative expenses payable 135 170 Other payables 61 32 Total payables 1,071 852 15. Remuneration of auditor During the year the following fees were paid or payable for services provided by the auditor of the Trust: Year ended Year ended 30 June 2026 30 June 2025 $ $ PricewaterhouseCoopers Australian Firm Audit and other assurance services Audit and review of financial statements 78,050 68,890 Total remuneration for audit and other assurance services 78,050 68,890 Non-audit services Tax compliance services 6,500 6,120 Total remuneration for non-audit services 6,500 6,120 Total remuneration of PricewaterhouseCoopers Australian Firm 84,550 75,010 Ernst & Young Audit and other assurance services Audit of compliance plan 5,500 5,000 Total remuneration for audit and other assurance services 5,500 5,000 Total remuneration of Ernst & Young 5,500 5,000 The auditor’s remuneration is borne by the Trust. Fees are stated exclusive of GST. 31
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Gryphon Capital Income Trust Notes to the Financial Statements 16. Related party transactions The Responsible Entity of the Trust is One Managed Investment Funds Limited (ABN 47 117 400 987, AFSL 297 042). Accordingly, transactions with entities related to One Managed Investment Funds Limited are disclosed below. (a) Management fees paid and payable to the investment manager Management fees are the fees charged by the Investment Manager to provide investment management services to the Trust. The Investment Manager charges 0.72% per annum (inclusive of GST and less any reduced input tax credits) of the net asset value of the Trust’s assets. The management fee is calculated and accrued daily and paid monthly in arrears from the Trust's assets. For the financial period ended 30 June 2026, the management fee expenses incurred by the Trust were $8,511,273 (2025: $6,004,162). The management fees payable at 30 June 2026 were $810,118 (2025: $623,114). (b) Responsible Entity Fee This fee is charged by the Responsible Entity for managing the Trust and making it available to investors. It is calculated and accrued daily and paid monthly in arrears from the Trust’s assets. The fee is calculated on the Trust's gross assets as follows: • 0.06% per annum up to $200 million; • 0.04% per annum from $200 million to $300 million; • 0.02% per annum from $300 million; This fee is subject to a minimum monthly fee of $5,827.77. All minimum fees payable to the Responsible Entity are subject to annual CPI increases. (c) Other fees paid to related and affiliated parties The Responsible Entity has appointed service providers to the Trust, some of whom are related parties of the Responsible Entity. The following entities, which are related parties of the Responsible Entity, have provided services to the Trust during the financial period ended 30 June 2026: • OMIFL holds assets for the Trust and receives a fee for doing so. OMIFL's custodian fee is calculated and accrued daily and paid monthly in arrears from the Trust's assets. The fee is calculated at the rate of 0.01% p.a. of the Trust's gross assets (subject to a minimum monthly fee of $2,814 and annual CPI increase.). Responsible Entity and custody fees of $486,407 (2025: $366,461) were incurred for the period ended 30 June 2026 and $88,990 (2025: $34,507) was payable at the end of the period. • Unity Fund Services Pty Ltd ("UFS"), an affiliated entity to the Responsible Entity has been appointed for the provision of administration to the Trust effective from 19 March 2026. Fund administration fees of $92,017 were incurred for the period from 19 March 2026 to 30 June 2026 (2025: nil) and $57,907 (2025: nil) was payable at the end of the period. All related party transactions are conducted on normal commercial terms and conditions. 32
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Gryphon Capital Income Trust Notes to the Financial Statements 16. Related party transactions (continued) (c) Other fees paid to related and affiliated parties (continued) Members of One Investment Group (OIG), comprising One Investment Group Pty Ltd and its subsidiaries and associates, hold and administer a large number of bank accounts in relation to their clients/funds. Where possible, OIG seeks to negotiate terms for the bank accounts relating to its clients/funds that may not ordinarily be available to those clients/funds on a standalone basis, including in particular the benefit of a higher interest rate than is ordinarily offered to other parties by a bank. Where such preferential terms are negotiated, OIG may also receive a fee or benefit (OIG Benefit) from the relevant bank. This OIG Benefit is not paid out of a bank account relating to a client/fund or from interest earned on such bank account and will not appear on any bank statement for such an account. Neither is it an asset of a client/fund. (d) Key management personnel (i) Responsible Entity Key management personnel of the Responsible Entity are: Name Title Frank Tearle Executive Director and Company Secretary Sarah Wiesener Executive Director and Company Secretary Michael Sutherland Executive Director (ii) Investment Manager The Investment Manager Gryphon Capital Investments Pty Ltd is a wholly owned subsidiary of Barings LLC. Key management personnel of the Investment Manager are: Name Title Steven A Fleming Portfolio Manager Ashley Burtenshaw Portfolio Manager (e) Transactions with key management personnel There were transactions with key management personnel during the reporting period. Details of the transactions are set out below: Name Opening units Units acquired Units redeemed Distributions paid/payable Closing units Steven A Fleming 187,500 - - $28,575 187,500 . Ashley Burtenshaw 167,500 - - $25,527 167,500 (f) Key management personnel unit holdings A related entity of Steven Fleming held 187,500 units in the Trust as at 30 June 2026 (30 June 2025: 187,500 units). A related entity of Ashley Burtenshaw held 167,500 units in the Trust as at 30 June 2026 (30 June 2025: 167,500 units). 33
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Gryphon Capital Income Trust Notes to the Financial Statements 16. Related party transactions (continued) (g) Key management personnel of the Responsible Entity and Investment Manager compensation Payments made from the Trust to the Responsible Entity and the Investment Manager do not include any amounts directly attributable to key management personnel remuneration. (h) Key management personnel loans The Trust has not made, guaranteed or secured, directly or indirectly, any loans to key management personnel or their personally related entities at any time during the reporting year other than as disclosed in Note 16(k). (i) Other transactions with the Trust Apart from those details disclosed in this note, no key management personnel have entered into a material contract with the Trust during the financial year and there were no material contracts involving key management personnel’s interests existing at year end. (j) Related party unit holdings Parties related to the Trust (including the Responsible Entity, its related parties and other schemes managed by the Responsible Entity and the Investment Manager) held no units in the Trust as at 30 June 2026 (30 June 2025: Nil) except for key management personal unit holding outlined in Note 16(d). (k) Investments in unlisted funds managed by the Responsible Entity The Trust did not hold any investments in the Responsible Entity or its related parties during the year. (l) Manager Loan The Manager Loan is an unsecured loan advanced to Gryphon Capital Management Pty Ltd ("GCM") a subsidiary of Barings LLC. GCM may use the Manager Loan for working capital purposes, such as the provision of ongoing services to the Trust including but not limited to investor relations, capital management, to facilitate future fundraisings and pay costs of the offer of units in the Trust. GCM is required to pay both principal and interest on the Manager Loan in regular instalments over the 10-year term of the Manager Loan, at an interest rate of 5% per annum. GCM may repay the Manager Loan early at its absolute discretion, and must repay the Manager Loan in full regardless of whether the Investment Manager remains the Manager of the Trust. There were no additional drawdowns on the Manager Loan in the 2026 financial year (2025: Nil). As at As at 30 June 2026 30 June 2025 $'000 $'000 . Loan to Gryphon Capital Management Pty Ltd 3,437 5,035 Accrued interest on loan 10 14 Interest received 215 292 34
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Gryphon Capital Income Trust Notes to the Financial Statements 17. Segment information The Trust is organised into one main operating segment with only one key function, being the investment of funds predominantly in Australia. 18. Events occurring after the reporting period On 27 July 2026 a distribution of 1.35 cents per ordinary unit which amounted to $8,610,770.83 was approved and paid on 10 August 2026. No other matter or circumstance has arisen since 30 June 2026 that has significantly affected, or may significantly affect: • the operations of the Trust in future financial years, or • the results of those operations in future financial years, or • the state of affairs of the Trust in future financial years. 19. Significant events No other significant events have occurred since the reporting period which would impact on the financial position of the Trust disclosed in the statement of financial position as at 30 June 2026 or on the results and cash flows of the Trust for the year ended on that date. 20. Contingent assets and liabilities and commitments There are no other outstanding contingent assets or liabilities or commitments as at 30 June 2026 and 30 June 2025. 35
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Gryphon Capital Income Trust Directors' declaration In the opinion of the directors of One Managed Investment Funds Limited, the Responsible Entity of Gryphon Capital Income Trust: (a) The financial statements and notes set out on pages 7to 35 are in accordance with the Corporations Act 2001, including: (i) complying with Australian Accounting Standards,the Corporations Regulations 2001 and other mandatory professional reporting requirements; and (ii) giving a true and fair view of the Trust’s financial position as at30 June 2025 and of its performance for the year ended on that date, as represented by the results of its operations and cash flows; (b) there are reasonable grounds to believe that the Trust will be able topay its debts as and when they become due and payable; (c) Note 2(a) confirms that the financial statements also comply with International Financial Reporting Standards as issued by the International Accounting Standards Board. (d) The directors have not been given, by the Executive Director and Chief Financial Officer, the declarations for the year ended 30 June 2026 required by section 295A of the Corporations Act 2001, because the nature of the Trust, these declarations are provided by other people. This declaration is made in accordance with a resolution of the directors. Frank Te arle Director One Ma naged In vestment Fu nds Li mited Sydney 21 Au gust 20 26 36
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PricewaterhouseCoopers, ABN 52 780 433 757 480 Queen Street, BRISBANE QLD 4000, GPO Box 150, BRISBANE QLD 4001 T: +61 7 3257 5000, F: +61 7 3257 5999, www.pwc.com.au pwc.com.au Liability limited by a scheme approved under Professional Standards Legislation. Independent auditor’s report To the unitholders of Gryphon Capital Income Trust Report on the audit of the financial report Our opinion In our opinion, the accompanying financial report of Gryphon Capital Income Trust (the Trust) is in accordance with the Corporations Act 2001, including: a) giving a true and fair view of the Trust’s financial position as at 30 June 2026 and of its financial performance for the year then ended; and b) complying with Australian Accounting Standards and the Corporations Regulations 2001. What we have audited The financial report comprises: • the statement of financial position as at 30 June 2026; • the statement of profit or loss and other comprehensive income for the year then ended; • the statement of changes in equity for the year then ended; • the statement of cash flows for the year then ended; • the notes to the financial statements, including material accounting policy information and other explanatory information; and • the directors’ declaration.
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2 Basis for opinion We conducted our audit in accordance with Australian Auditing Standards. Our responsibilities under those standards are further described in the Auditor’s responsibilities for the audit of the financial report 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 Trust in accordance with the auditor independence requirements of the Corporations Act 2001 and the ethical requirements of the Accounting Professional & Ethical Standards Board’s APES 110 Code of Ethics for Professional Accountants (including Independence Standards) (the Code) that are relevant to audits of the financial report of public interest entities in Australia. We have also fulfilled our other ethical responsibilities in accordance with the Code. Our audit approach An audit is designed to provide reasonable assurance about whether the financial report is free from material misstatement. Misstatements may arise due to fraud or error. They 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 the financial report. We tailored the scope of our audit to ensure that we performed enough work to be able to give an opinion on the financial report as a whole, taking into account the geographic and management structure of the Trust, its accounting processes and controls and the industry in which it operates. Audit Scope Our audit focused on where the Trust made subjective judgements; for example, significant accounting estimates involving assumptions and inherently uncertain future events. Our audit approach reflected the nature of the investments held by the Trust and consideration of activities performed by third party service organisations (“service organisations”). The key third party service organisations relevant to our audit were the administrator who maintains the accounting records of the Trust, the custodian who provides custodial services for the Trust, and the Trust’s external pricing expert who values the Trust’s investments. These third-party service organisations significantly
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3 contribute to the safe keeping of the Trust’s assets, the maintenance of the Trust’s financial records and the preparation of the Trust’s financial report. Amongst other relevant topics, we communicated the following key audit matter to the Board of Directors of the Responsible Entity (One Managed Investment Funds Limited): Financial significance of financial assets at fair value. Key audit matters Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial report for the current period. The key audit matters were addressed in the context of our audit of the financial report as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters. Further, any commentary on the outcomes of a particular audit procedure is made in that context. We communicated the key audit matter to the Board of Directors of the Responsible Entity. Key audit matter How our audit addressed the key audit matter Financial significance of financial assets at fair value Refer to note 2(c) (Summary of material accounting policies) and note 4 (Fair value measurement). At 30 June 2026, financial assets at fair value comprise residential mortgage-backed securities and asset-backed securities (“investments”). As described in note 2(c) of the financial report, these investments are measured at fair value in accordance with Australian Accounting Standards. Whilst there is no significant judgement in determining the existence or valuation of these investments, we determined this to be a key audit matter because they represent a significant proportion of the total net assets attributable to unitholders of the Trust and fluctuations in the balance impact the net gains/(losses) on financial assets at fair value recognised in the Trust’s We performed the following procedures, amongst others: • Obtained and evaluated the most recent controls reports issued by the Trust’s administrators and custodian, setting out the controls in place at these service organisations, which included an assurance report over the design and implementation, and operating effectiveness of those controls. • Obtained independent confirmations of the Trust’s investment holdings from the custodian and from the Trust’s external pricing expert, and compared the confirmed balances to the Trust’s underlying accounting records as at balance date. • Evaluated the Trust’s valuation policy, and for a selection of investments held by the Trust: o Independently obtained market price data from third-party price vendors and compared it to the fair values used by the Trust
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4 Key audit matter How our audit addressed the key audit matter statement of profit or loss and comprehensive income. o Independently obtained actual prices of transactions close to the balance sheet date and compared it to the fair values used by the Trust o With the assistance of PwC valuation experts, assessed the appropriateness of the valuation methodology and inputs used by the Trust and independently recalculated the valuation as at year end date. • Assessed the reasonableness of the disclosures in the financial report against the requirements of Australian Accounting Standards. Other information The directors of the Responsible Entity are responsible for the other information. The other information comprises the information included in the annual report for the year ended 30 June 2026, but does not include the financial report and our auditor’s report thereon. Our opinion on the financial report does not cover the other information and accordingly we do not express any form of assurance conclusion thereon through our opinion on the financial report. In connection with our audit of the financial report, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial report or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed on the other information that we obtained prior to the date of this auditor’s report, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard. Responsibilities of the directors of the Responsible Entity for the financial report The directors of the Responsible Entity are responsible for the preparation of the financial report in accordance with Australian Accounting Standards and the Corporations Act 2001, including giving a true and fair view, and for such internal control as the directors of the Responsible Entity determine is necessary to enable the preparation of the financial report that is free from material misstatement, whether due to fraud or error.
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5 In preparing the financial report, the directors of the Responsible Entity are responsible for assessing the ability of the Trust 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 of the Responsible Entity either intend to liquidate the Trust or to cease operations, or have no realistic alternative but to do so. Auditor’s responsibilities for the audit of the financial report Our objectives are to obtain reasonable assurance about whether the financial report as a whole is 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 the Australian Auditing Standards will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial report. A further description of our responsibilities for the audit of the financial report is located at the Auditing and Assurance Standards Board website at: https://www.auasb.gov.au/admin/file/content102/c3/ar2_2020.pdf. This description forms part of our auditor’s report. PricewaterhouseCoopers Kristy van Horck Brisbane Partner 21 August 2026
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A. Distribution of units There were 635,950,578 ordinary units held by 12,115 unitholders. The number of unitholders, by size of holding are: PercentageTotal UnitsNo Of Holders 3451 - 1,000 117,986 0.020 1,001 - 5,000 888 3,280,869 0.520 5,001 - 10,000 1,684 13,891,090 2.180 10,001 - 100,000 8,436 282,023,097 44.350 762 336,637,536 52.930 Totals 12,115 635,950,578 100.00% There were no unmarketable parcels of units. B. 20 largest unitholders The names of the 20 largest unitholders, as 18 August 2026, are: Unitholder No. of Units Percentage 1 BNP PARIBAS NOMINEES PTY LTD <HUB24 CUSTODIAL SERV LTD> 53,865,089 8.470% 2 CITICORP NOMINEES PTY LIMITED 28,337,633 4.456% 4 HSBC CUSTODY NOMINEES (AUSTRALIA) LIMITED 24,969,614 3.926% 3 NETWEALTH INVESTMENTS LIMITED <WRAP SERVICES A/C> 23,751,663 3.735% 5 NETWEALTH INVESTMENTS LIMITED <SUPER SERVICES A/C> 10,154,295 1.597% 6 IOOF INVESTMENT SERVICES LIMITED <IOOF IDPS A/C> 9,711,686 1.527% 7 IOOF INVESTMENT SERVICES LIMITED <IPS SUPERFUND A/C> 4,086,775 0.643% 8 DK ASSETS PTY LTD 2,750,000 0.432% 9 GEAT INCORPORATED <GEAT-PRESERVATION FUND A/C> 2,297,030 0.361% 10 BNP PARIBAS NOMINEES PTY LTD <IB AU NOMS RETAILCLIENT> 2,234,701 0.351% 11 AAVASAN PTY LTD 2,159,897 0.340% 12 ASIA UNION INVESTMENTS PTY LIMITED 2,000,000 0.314% 13 AURISCH INVESTMENTS PTY LTD 1,871,890 0.294% 14 THE CORPORATION OF THE TRUSTEES OF THE ORDER OF THE SISTERS OF MERCY IN QLD <CONGREGATION A/C>1,623,756 0.255% 15 MCKIE INVESTMENTS PTY LTD <MCKIE FAMILY INVESTMENT A/C> 1,524,038 0.240% 16 NATIONALE SMSF PTY LTD <THE NATIONALE SUPER FUND A/C> 1,503,943 0.236% 17 Z&P NALBANDIAN PTY LTD <Z&P NALBANDIAN FAMILY A/C> 1,500,000 0.236% 18 ELIZIKAT INVESTMENTS PTY LTD <DOUGHAN INVESTMENT A/C> 1,446,633 0.227% 19 CITICORP NOMINEES PTY LIMITED <BETASHARES CAP LTD ACCOUNT> 1,423,704 0.224% 20 ROSEBUILT PTY LIMITED 1,254,718 0.197% C. D. All units issued are fully paid. The voting rights attaching to each fully paid unit are: (i) on a show of hands each unitholder has one vote; and (ii) on a poll, each unitholder has one vote for each dollar of the value of the total interests they have in the Trust. E. 100,001-999,999,999 Gryphon Capital Income Trust (GCI) ARSN 623 308 850 ASX ADDITIONAL INFORMATION Additional information required by the Australian Stock Exchange Limited Listing Rules and not disclosed elsewhere in this report is as follows. The information is current as at 18 August 2026 unless otherwise indicated. Substantial unitholders There are no substantial unitholders who have notified the Trust in accordance with section 671B of theCorporations Act 2001 . Voting rights Buy-back There is no current on-market buy-back of units in the Trust.
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F. Security NameSecurity Code HARVE 2017-1 C MtgeAU3FN0035671 MEDL 2017-1 CAU3FN0035994 FMACB FMFT-4 BRAU3FN0038808 FMACB FMFT-4 CRAU3FN0038816 Firstmac No4 ANZ DAU3FN0038824 Firstmac No4 ANZ EAU3FN0038832 MEDL 2017-2 DAU3FN0039301 FMACB FMFT-2 ABAU3FN0039756 FMACB FMFT-2 BRAU3FN0039764 FMACB FMFT-2 CRAU3FN0039772 FMACB FMFT-2 D MtgAU3FN0039780 FMACB FMFT-2 E MtgAU3FN0039798 NRMBS 2018-1 DAU3FN0040663 REDS 2018-1 D MtgeAU3FN0042669 Liberty WH-1 B MtgeAU3FN0042958 Liberty WH-1 C MtgeAU3FN0042974 Liberty WH-1 D MtgeAU3FN0043006 NRMBS 2018-2 DAU3FN0044129 PEPAU WH-2 BAU3FN0044202 PEPAU WH-A CAU3FN0044210 PEPAU WH-2 DAU3FN0044228 PEPAU WH-2 EAU3FN0044236 RESI TRIOMPHE WH6 CAU3FN0046017 RESI TRIOMPHE WH6 DAU3FN0046025 RESI TRIOMPHE WH6 EAU3FN0046033 SMHL 2019-1 C MtgeAU3FN0048112 SMHL 2019-1 D MtgeAU3FN0048120 SMHL 2019-1 E MtgeAU3FN0048138 SMHL 2019-1 F MtgeAU3FN0048146 TORR 2019-1 E120950AU3FN0048385 SMHL 2019-1 E 150751AU3FN0048526 SMHL 2019-1 F 150751AU3FN0048534 KINGF 2019-1 D190550AU3FN0048591 KINGF 2019-1 E190550AU3FN0048609 LBRTY CH-1 BAU3FN0050175 LBRTY CH-1 CAU3FN0050183 LBRTY CH-1 DAU3FN0050191 LBRTY CH-1 EAU3FN0050209 TORR 2019-2 E MtgeAU3FN0051264 FMACB 2019-4 DAU3FN0051991 FMACB 2019-4 EAU3FN0052007 AFG WH10-1 BAU3FN0052031 AFG WH10-1 CAU3FN0052049 AFG WH10-1 DAU3FN0052056 AFG WH10-1 EAU3FN0052064 FMACB 2020-1 DAU3FN0053682 LIONT 2020-1 E MtgeAU3FN0055653 RESI WH-1 CAU3FN0058012 RESI WH-1 D MtgeAU3FN0058020 RESI WH-1 E MtgeAU3FN0058038 FMACB 2021-1PP EAU3FN0058582 FMACB 2021-1PP FAU3FN0058590 FMACB WH15 BAU3FN0058657 FMACB WH15 CAU3FN0058665 FMACB WH15 D MtgeAU3FN0058673 FMACB WH15 E MtgeAU3FN0058681 THINK W05 BAU3FN0058764 THINK W05 CAU3FN0058772 THINK W05 DAU3FN0058780 THINK W05 EAU3FN0058798 Fair Value $'000 127 569 3,000 20,999 9,500 4,000 1,065 20,999 9,999 31,998 12,999 6,999 931 579 13,300 21,399 22,599 1,174 21,499 15,399 7,499 5,400 3,500 3,000 5,000 15,600 6,100 3,700 5,700 143 154 150 578 583 45,997 24,998 30,998 8,999 1,467 486 756 11,599 15,299 6,000 5,500 605 866 7,800 5,000 5,000 1,763 1,718 2,000 14,499 12,399 6,500 2,000 9,799 5,000 4,000 Gryphon Capital Income Trust (GCI) ARSN 623 308 850 ASX ADDITIONAL INFORMATION Investments held at 30 June 2026 Current Face Value $'000 127 559 3,000 21,000 9,500 4,000 1,039 21,000 10,000 32,000 13,000 7,000 917 577 13,300 21,400 22,600 1,145 21,500 15,400 7,500 5,400 3,500 3,000 5,000 15,600 6,100 3,700 5,700 140 152 149 560 560 46,000 25,000 31,000 9,000 1,414 482 747 11,600 15,300 6,000 5,500 594 808 7,800 5,000 5,000 1,694 1,652 2,000 14,500 12,400 6,500 2,000 9,800 5,000 4,000
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F. Security NameSecurity Code RESI WH-1NC CAU3FN0059788 RESI WH-1NC DAU3FN0059796 RESI WH-1NC EAU3FN0059804 TORR 2021-2 D MtgeAU3FN0062055 TORR 2021-2 E MtgeAU3FN0062063 TORR 2021-2 F MtgeAU3FN0062071 AFG WH10-1S6 BAU3FN0063780 AFG WH10-1S6 CAU3FN0063798 AFG WH10-1S6 DAU3FN0063806 AFG WH10-1S6 EAU3FN0063814 FMACB 2022-2PP FAU3FN0067542 RESI RAF-2 BAU3FN0074415 RESI RAF-2 CAU3FN0074423 LBRTY 2023-1AUT FAU3FN0077699 REDS 2023-1 DAU3FN0079455 REDS 2023-1 EAU3FN0079463 LBRTY BA-2 B MtgeAU3FN0083721 LBRTY BA-2 C MtgeAU3FN0083739 LBRTY BA-2 D MtgeAU3FN0083747 LBRTY 2024-1 EAU3FN0084349 LBRTY 2024-1 FAU3FN0084356 LBRTY 2024-1 DAU3FN0084372 FAFTJPM CAU3FN0085577 FAFTJPM DAU3FN0085585 FAFTJPM EAU3FN0085593 RESI 2024-1NC E MtgeAU3FN0085817 RESI 2024-1NC F MtgeAU3FN0085825 RESI WH-4NC B MtgeAU3FN0085940 RESI WH-4NC C MtgeAU3FN0085957 RESI WH-4NC D MtgeAU3FN0085965 RESI WH-4NC E MtgeAU3FN0085973 NRMBS 2024-1 EAU3FN0088266 LBRTY 2024-1A EAU3FN0088340 LBRTY 2024-1A FAU3FN0088357 FMACB 2024-3PP EAU3FN0088696 FMACB EAGL-3PP FAU3FN0089322 PEPAU 40 EAU3FN0089496 PEPAU 40 FAU3FN0089504 SPERE 2024-WH1 DAU3FN0089629 SPERE 2024-WH1 EAU3FN0089637 SPERE 2024-WH1 FAU3FN0089645 LBRTY 2024-1SME DAU3FN0090148 LBRTY 2024-1SME EAU3FN0090155 LBRTY 2024-1SME FAU3FN0090163 RESI 2024-2 EAU3FN0091765 RESI 2024-2 FAU3FN0091773 RESI 2024-2 GAU3FN0091781 LBRTY 2024-2 DAU3FN0092383 LBRTY 2024-2 EAU3FN0092391 LBRTY 2024-2 FAU3FN0092409 RESI 2019-1AV A2AU3FN0093449 RESI 2019-1AV ABAU3FN0093456 RESI 2019-1AV B1AU3FN0093464 BLUE-WT13 BAU3FN0093480 BLUE-WT13 CAU3FN0093498 BLUE-WT13 DAU3FN0093506 BLUE-WT13 EAU3FN0093514 BCINV 25-ZEN BAU3FN0093555 BCINV 2025-1 CAU3FN0093563 BCINV 2025-1 DAU3FN0093571 Fair Value $'000 29,999 16,000 9,000 279 281 281 3,000 16,399 5,500 5,500 4,631 22,899 7,400 867 2,063 2,134 15,999 18,999 9,999 2,629 591 520 8,000 7,000 5,000 1,946 719 6,175 14,534 6,460 3,040 4,111 1,636 1,139 2,794 4,843 931 1,263 11,999 16,599 10,499 6,038 14,890 4,075 3,063 1,280 3,104 1,805 1,214 503 4,043 6,432 10,072 2,500 2,250 9,199 3,100 3,500 17,599 9,799 Current Face Value $'000 30,000 16,000 9,000 279 279 279 3,000 16,400 5,500 5,500 4,405 22,900 7,400 851 1,951 2,021 16,000 19,000 10,000 2,565 577 513 8,000 7,000 5,000 1,901 705 6,175 14,535 6,460 3,040 4,000 1,602 1,121 2,707 4,750 900 1,242 12,000 16,600 10,500 6,000 14,500 4,000 3,000 1,250 3,000 1,800 1,200 500 4,043 6,432 10,072 2,500 2,250 9,200 3,100 3,500 17,600 9,800 Gryphon Capital Income Trust (GCI) ARSN 623 308 850 ASX ADDITIONAL INFORMATION Investments held at 30 June 2026 (continued) Management fees have been reported in Note 16 to the financial statements.
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F. Security NameSecurity Code BCINV 2025-1 EAU3FN0093589 LBRTY 2025-1 FAU3FN0095147 AFG 2025-1NC EAU3FN0095220 RESI 2025-1NC EAU3FN0096459 RESI 2025-1NC FAU3FN0096467 WISR WH-NO3 BAU3FN0096558 WISR WH-NO3 CAU3FN0096566 WISR WH-N03 DAU3FN0096574 WISR WH-N03 EAU3FN0096582 WISR WH-N03 FAU3FN0096590 RESI WH-5NC CAU3FN0096947 RESI WH-5NC DAU3FN0096954 RESI WH-5NC EAU3FN0096962 TURQU 2025-1 DAU3FN0097408 TURQU 2025-1 EAU3FN0097416 TURQU 2025-1 FAU3FN0097424 PCWT 2025-1 BAU3FN0097655 PCWT 2025-1 CAU3FN0097663 PCWT 2025-1 DAU3FN0097671 PCWT 2025-1 EAU3FN0097689 PCWT 2025-1 FAU3FN0097697 FMACB 2025-1 EAU3FN0098315 FMACB 2025-1 FAU3FN0098323 LBRTY WH12-1 DAU3FN0099115 LBRTY WH12-1 EAU3FN0099123 LBRTY WH12-1 FAU3FN0099131 RESI WH-9 DAU3FN0100095 RESI WH-9 EAU3FN0100103 TURQU 2025-2 EAU3FN0100665 TURQU 2025-2 FAU3FN0100673 AFG 2025-1 DAU3FN0100863 AFG 2025-1 EAU3FN0100871 AFG 2025-1 FAU3FN0100889 PEPAU 41 DAU3FN0101499 PEPAU 41 EAU3FN0101507 PEPAU 41 FAU3FN0101515 LBRTY 2025-2 E MtgeAU3FN0101580 LBRTY 2025-2 F MtgeAU3FN0101598 REDZE 2025-ST3 DAU3FN0102562 REDZE 2025-ST3 EAU3FN0102570 REDZE 2025-ST3 FAU3FN0102588 TURQU 2026-1 EAU3FN0106605 TURQU 2026-1 FAU3FN0106613 FMACB 2026-1PP EAU3FN0106993 FMACB 2026-1PP FAU3FN0107009 REDZE WSN4 BAU3FN0105375 REDZE WSN4 CAU3FN0105383 REDZE WSN4 DAU3FN0105391 REDZE WSN4 EAU3FN0105409 REDZE WSN4 FAU3FN0105417 REDZE WSN4 BRRAU3FN0107603 REDZE WSN4 CRRAU3FN0107611 REDZE WSN4 DRRAU3FN0107629 REDZE WSN4 ERRAU3FN0107637 REDZE WSN4 FRRAU3FN0107645 REDZE 2026-1 EAU3FN0107223 REDZE 2026-1 FAU3FN0107231 FMACB EAGL-6PP GAU3FN0107389 FMACB 2026-1PP GAU3FN0107017 ADRO WH1 CAU3FN0109625 ADRO WH1 DAU3FN0109633 ADRO WH1 EAU3FN0109641 PROGS WH-7 FAU3FN0111308 RESI WH-5NC BAU3FN0096939 Fair Value $'000 5,400 3,514 2,854 5,305 2,195 4,000 2,675 5,350 8,000 4,050 15,800 13,300 6,300 4,500 5,574 1,438 10,000 11,999 8,879 4,500 3,180 6,143 1,987 30,999 25,499 16,499 7,000 3,500 3,649 3,203 966 801 948 1,636 1,190 1,755 2,893 1,293 5,363 4,271 2,462 2,525 2,783 6,100 7,984 2,480 5,480 7,210 2,600 2,740 500 500 500 250 250 6,329 7,077 4,175 5,954 6,000 6,500 3,000 11,198 2,300 1,240,718 G. Gryphon Capital Income Trust (GCI) ARSN 623 308 850 ASX ADDITIONAL INFORMATION Investments held at 30 June 2026 (continued) Current Face Value $'000 5,400 3,500 2,820 5,250 2,175 4,000 2,675 5,350 8,000 4,050 15,800 13,300 6,300 4,500 5,500 1,420 10,000 12,000 8,880 4,500 3,180 6,032 1,947 31,000 25,500 16,500 7,000 3,500 3,620 3,186 973 807 950 1,650 1,200 1,762 2,910 1,300 5,400 4,300 2,475 2,540 2,800 6,100 8,000 2,480 5,480 7,210 2,600 2,740 500 500 500 250 250 6,340 7,100 4,180 6,000 6,000 6,500 3,000 11,200 2,300 1,238,503 Transactions in securities There were a total of 252 transactions in securities during the year ended 30 June 2026. Total brokerage paid by the Trust on those transactions was nil.
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Directors: Frank Tearle Sarah Wiesener Michael Sutherland Company Secretaries: Sarah Wiesener Frank Tearle Investment Manager: Gryphon Capital Investments Pty Ltd Auditor: PricewaterhouseCoopers 480 Queen Street BRISBANE QLD 4000 Country of Registration: Australia Responsible Entity: One Managed Investment Funds Limited Registered Office: Level 16, Governor Macquarie Tower 1 Farrer Place SYDNEY NSW 2000 Ph: 612 8277 0000 Unit Registry: Boardroom Pty Limited Level 8, 210 George Street SYDNEY NSW 2000 Ph: 1300 737 760 ASX Code : GCI ARSN: 623 308 850 Website: https://gcapinvest.com/our-lit/ https://gcapinvest.com/cmsb/uploads/gci_corporate-governance-statement.pdfCorporate Governance Statement: Gryphon Capital Income Trust (GCI) Directory