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| Share Name | Share Symbol | Market | Stock Type |
|---|---|---|---|
| Gcp Asset Backed Income Fund Limited | GABI | London | Ordinary Share |
| Price Change | Price Change % | Share Price | Last Trade
|
|
|---|---|---|---|---|
| 1.00 | 1.32% | 76.50 | 16:07:11 |
| Open Price | Low Price | High Price | Close Price | Previous Close |
|---|---|---|---|---|
| 75.50 | 75.50 | 76.50 | 76.50 | 75.50 |
| Industry Sector |
|---|
| EQUITY INVESTMENT INSTRUMENTS |
| Top Posts |
|---|
Posted at 21/7/2024 21:13 by 2wild Wind-ups often drag on for years, even after assets and valuations have become Very low. Despite a large % share price gain last week, SLFRX has a market capitalization of just £5.6 million. SLFR £6.8M. SSIF only announced a de-listing date after assets fell below £7 million.. At which point interactive investor threatened to send me a share certificate, as I could no longer hold in an ISA. Later they simply transferred SSIF to my associated trading account. Further cash realisations are paid to my trading account as normal with notification via email and Corporate activity box as before.Personally I'd rather they stay listed for as long as possible. As there can be greater percentage trading opportunities, as discounts rise to reflect greater risk and uncertainty, both real and perceived. |
Posted at 05/7/2024 14:44 by mabelf1 Astonishing they update a select few investors and no doubt more colour was given on the webinar than is written in the slides but private investors are denied the chance to participate. I’d been led to believe Gravis was a decent outfit, but it stinks to be honest. |
Posted at 04/7/2024 16:58 by chucko1 The shareholder cash returns are substantially higher than the NAV, since they are using a scenario analysis to determine cash returns from their investments and timings - 5 separate scenarios, in fact - rather than a blind 6.5% default rate (coming from 12% discount rate minus 5.5% risk free rate)The seemingly high IRR is from a modelling of the precise timings of the returns, and the base case high IRR of 39% presumes a rather shorter average life than the others. Additionally, the final scenario (downside) is the lowest owing to an implied higher degree of credit loss on top of a longer average life. IRRs in themselves are a little meaningless as they depends on the average life, which has not been explicitly stated. Nevertheless, the NPV assumes a 12% discount rate, it seems, and applying that over, say, a 2 year average life (probably a bit shorter) and suffering de minimus defaults, will jack up the IRR considerably. To be quite honest, something like this has been clear from even when the share price was around 60p and it was likely they would enter run-off. Why it needs printing in black and white to get investors excited is a mystery. Moreover, why they needed to enter run-off is as much of a mystery owing to the (now apparent) excellent stewardship of the IT. Same applies to a few others as well. It is mad. |
Posted at 02/7/2024 11:39 by chucko1 No problems with any of the above analysis. Discount applicable to any "rump" holdings is not easy to judge, but considering their long term default/impairment rate, the high discount rate set to arrive at the current NAV is a gift to medium term/patient investors.I have generally held a fair few of GABI, and reinvested my ROC at the time. But will add more as and when. |
Posted at 30/6/2024 11:14 by rimau1 Papy - great analysis. The IRR is an annual return right? So noting your assumptions and caveats an investor can expect a range of anywhere between 12-21percent annual return out to 2028, correct? Best case- worst case. |
Posted at 29/6/2024 16:59 by papy02 Some smart investors here have exited GABI higher up. I didn’t follow suit as I believe Gravis knows the portfolio best and have signed up to a Performance Fee that, if achieved, gives respectable shareholder returns from here.I have finally done a “proper” spreadsheet to test this. My guess (central estimate) from the current share (bid) price is approx 17% shareholder IRR through end 2028, assuming Gravis achieve mid-range of their Performance Fee. Or approx 16% if they just reach the minimum threshold for Performance Fees. The key to over-achieving on that, is if Gravis can materially pull forward the realisation of loans, vs what I assumed. The major risk, obviously, is if one or more large loans go bad, in excess of the haircuts I've assumed. Gravis also have an 8.8% shareholding, which should better align them with shareholders overall. So for me, any drift in GABI shareprice, during the potentially long fallow periods for redemptions/distribu But E&OE, DYOR, NAI, YMMV, etc. Perspective The threshold for Gravis to earn Performance Fees on the wind-down is 12% IRR on an “adjusted portfolio value” of £321m as at 31 Dec 2023. The 12% is measured on cash receipts after transaction costs so OPEX etc not deducted. Tailwinds for them, in achieving this 12% IRR, include: - Portfolio weighted average yield of 8.7% p.a. (per 2023 AR) - The £321m starting-value is an 11% discount off the portfolio NAV at YE 2023, and much more off portfolio face value - That portfolio NAV has been calculated using a weighted average discount rate of 10.5% p.a. (per 2023 AR, though I do find this hard to credit) - Lower market interest rates from here may help (e.g. in getting loans re-financed elsewhere, or getting an acceptable price for a portfolio sale of, say, 2028+ loans) Workings I profiled cashflows (loan redemptions + interest) that result in Gravis achieving 12% IRR on the “adjusted portfolio value” of £321m. I started from the loan-redemptions reported so far in 2024, then used the Gravis loans spreadsheet to model a reasonable time-profile for future redemptions of the remaining loans. I assumed all 2028+ loans are wrapped up in 2028, (pulling realisation of all 2028+ loans into 2028). I massaged the resulting cashflow-profile (via haircuts off face value) to arrive at a Gravis 12% IRR from the notional investment of £321m at Y/E 2023. It needed 5% discount in 2025, 10% in 2026, 15% in 2027, and 26% in 2028 (with 2028+ all pulled into 2028) to massage the Gravis IRR down to 12%. Lots of assumptions and calculation short cuts in there, but all to try and get a reasonable time-profile for the redemptions+yield cashflow that Gravis is being measured on. The resulting cash profile is constrained by the need to model a 12% IRR. So any changes in the time-profile or estimated loan face value, rental yield etc, will principally affect the levels of discount off face that I had use to get to the 12%, more than changing the resulting cashflows that give a 12% IRR. The purpose of all the above was to see what shareholder IRR (from here) resulted from those gross cashflows, after deducting estimated operating costs including Gravis fees. When I plug in existing-shareholder Gravis need to reach the 12% IRR at Portfolio level to earn any Performance fees. Their Performance fee is capped at £14.7m, which would require £73.7m “excess return over the 12% IRR” (before deducting the Performance Fee). But this is slippery to model. It may be achieved more by pulling redemptions forward, than by collecting larger amounts (i.e. reducing discounts/haircuts). My understanding is that it is calculated on a loan by loan basis, once 12% IRR is achieved on the overall portfolio. So even with just 12% IRR at portfolio level, significant Performance Fees could be earned, with outperforming loans paying out for Gravis, but balanced for shareholders by others that underperform. My guess is that if Gravis earn half the max Performance fee, shareholder IRR increases by 1 to 2% over the 12% Gravis IRR scenario, so approx 17% shareholder IRR is my central case. It’s a very rough calculation, but encouraging fwiw. Would be interested if anyone else has done a similar calculation, or has comments on methodology. Assumptions: For redemptions I used the 2024 announced redemptions to date, then timings based on the Gravis loans spreadsheet going forward, applied to my estimate of current face value outstanding. I assumed increasing haircuts off face value from 2025 on, and that all 2028+ loans are wrapped up in 2028 for a 26% haircut in 2028 overall. I grouped redemptions into quarterly buckets, except 2028+ all in a single (very large: 51% of total) bucket. I didn't explicitly model bad-loan (and interest) write-offs, so those were only covered by the overall haircuts off face-value I assumed. For Expenses/costs: I used £1.5m pa fixed, + Gravis management fee of 0.7% of portfolio face value (not 0.75% of NAV, as per Circular, as I didn’t have qtr by qtr NAV numbers). I didn’t add liquidation costs, hoping this is offset by using face value not NAV for Gravis periodic fees. Could be improved! I deducted £4.4m of Performance fees (30% of the max, all in 2028) even with Gravis IRR of only the 12% portfolio-level threshold, for the reasons given above, and deducted £7.4m Performance Fee for my mid-range “central estimate” scenario. Please treat this post as if written by an anonymous BB poster you’ve never met and whose judgement, and capacity for spreadsheet errors, is unknown ! :-) |
Posted at 12/6/2024 23:53 by 2wild Q: What if 95% was being returned?A: Share price would have been around 88-89p. Although average loan duration has increased markedly, quality has improvedWith most problematic loans now settled. Interactive investor have updated my remaining holding of 995 shares to 623. I estimate 30 June NAV will be around 91.7p. Equating to 23% discount at 70.6p. Compare to around 28% at GCP, which has longer average duration. |
Posted at 12/6/2024 12:41 by chucko1 Barclays is now showing a short position (a friend of mine foolishly stuck with Barclays Smart Investor). They are struggling to get through this also. |
Posted at 01/6/2024 08:48 by hpcg I disagree, one can't keep forever waiting on the next repayment before returning funds. You have an amount you know is available for the next distribution, and anything beyond that rolls into the next quarter's. So not including the £57mn tells us nothing. To be very clear I am not saying it will not be rolled, I am, for emphasis, saying that the act of not waiting for it provides no information in this case.If the loan is repaid then the money spend longer in money markets, hardly problematic for investors. |
Posted at 20/5/2024 20:11 by papy02 Thanks. I agree those are the worry pinch-points. Especially the 57m getting deferred from Mar to June, alongside the memory of how they took their last humdinger loss spread over many years, writing it down but by bit. And with this 57m (and the 18m repaid in Feb) it doesn’t look like it was clear it was all effectively with a single borrower.But on the other hand, the independent valuers should have already built these concerns into the last NAV. In many of these windups it seems to me that pessimistic assumptions are counted in multiple times, by the company, then by investors. But you are right, surprises are also par for the course! Time will tell. In any case, thank you for your feedback - always more useful to understand a contrary view than feeding our confirmation bias ! (Especially when it comes from respected posters like you guys). |
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