GLIF.L Regulatory News (GLIF)

Greenwich Loan Income Fund Limited

Full Year Results 2011

26 March 2012

Greenwich Loan Income Fund Limited ("GLIF" or the "Company"), a closed-ended Guernsey exempt investment company, which invests principally in corporate loans across multiple sectors, today announces its audited results for the twelve months ended 31 December 2011.

Financial highlights

·; Net asset value at 31 December 2011 of 73.43p per share (30 June 2011: 70.56p)

·; Net Profit of £3.22m, including net unrealised gains on investments and liabilities

·; Invested assets with a fair value of £193.3m (31 December 2010: £161.6m) and cash of £23.7m at 31 December 2011 (31 December 2010: £36.7m), of which £18.2m of cash is within the CLO structure (31 December 2010: £30.5m)

·; Dividends declared of 4.0p per share for the 12 month period to 31 December 2011

·; Total Shareholder Return of 59.8% for 2011 (2010: 25.5%)

·; Q4 CLO income of US$3.3m, the highest level received by the Company since inception

Company highlights

·; Completion of the acquisition of Asset Management Investment Company plc ("AMIC") - acquisition finance repaid by June 2011 and the investments acquired have produced an ROE of 60% (as at 31 December 2011)

·; Listing on the Channel Islands Stock Exchange - leading to ISA eligibility and a significant increase in trading volumes by retail investors

·; Significant reduction in management fees in 2012 and improvement in income generation over 2011 are expected to lead to an increase in net income for the Company in 2012

·; Since the year end, a 15% increase in the Q4 2011 dividend (the first quarterly dividend rise in eight quarters) has been announced

·; NAV calculation methodology amended going forward to better represent the immediate value of assets within the portfolio and further align the Company's NAV with its peers

·; Overhaul of Board to strengthen skills and corporate governance

Outlook and strategy

·; Investment policy amended - the core focus will continue to be investments in loans, directly or indirectly, and these are to represent 80% of net assets, with 50% of assets always invested in the US

·; The continuing shortage of capital available to finance medium sized businesses globally should ensure attractive returns from loan markets in the medium term

·; The Board is currently exploring the possibility for an issue of equity

Commenting, Patrick Firth, Chairman of GLIF, said:

"The Board is delighted to present another positive set of results for the Company. Steadily improving conditions globally combined with the marked return of business confidence in the US in particular, underpins our confidence in the long term prospects for GLIF.

We believe that the Senior Loan market, both directly and through CLO structures, continue to represent an attractive area for investment and we look forward to building on the significant year of growth for the Company by continuing to provide shareholders with the potential for further growth in income and capital through a unique investment proposition".

For further information, please contact:

Geoffrey Miller

Greenwich Loan Income Fund Limited

+1 203 916 0003

+44 7408 830719

Patrick Conroy

Greenwich Loan Income Fund Limited

+1 203 983 5282

Investec Bank plc

Hugh Field

Jeremy Ellis

+44 (0)20 7597 5970

Ed Gascoigne Pees

FTI Consulting

+44 (0) 207 269 7132

CHAIRMAN'S STATEMENT

I am pleased to report the results of Greenwich Loan Income Fund Limited ("GLIF" or the "Company") for the year ended 31 December 2011.

Building on the solid progress of the previous year, 2011 was a year of significant developments, both internally for the Company and externally in the recognition of the Company in the wider market, which have been reflected in the current healthier share price.

During the year, we made significant progress: we completed the acquisition of Asset Management Investment Company plc ("AMIC"); listed on the Channel Islands Stock Exchange ("CISX"); amended our investment policy; strengthened the Board; agreed a significant reduction in management fees and for the first time, acquired holdings within two CLOs not run by our manager.

Our income generation has improved over the year and since the year-end, we have announced a rise in the Company's quarterly dividend for the first time in eight quarters, to 1.15p per share. This is a 15 per cent increase over the 1p paid for the previous eight quarters.

The significant reduction in management fees in 2012, as well as the stronger income flows expected from the underlying investments, should ensure a significant increase in net income to the Company this year. As detailed in the Manager's Report, the income generation from the portfolio is as strong as it has ever been and the Board believes that this bodes well for the Company's ability to continue its progressive dividend policy for the medium term.

However we do not anticipate reflecting the increase in revenue fully in quarterly dividends in 2012, as the Board believes that a sustainable and progressive dividend is more valuable to long-term shareholders than achieving the highest possible dividend in any one period.

The continuing shortage of capital available to finance medium sized businesses globally should ensure attractive returns from loan markets. This underpins our confidence in the long-term prospects to provide shareholders with further growth in income and capital.

The Company and its advisers are currently exploring the possibility for an issue of equity. A further announcement will be made in due course.

Performance

The strong operational performance of the Company was reflected in a share price increase of 46.2% from 29.25p to 42.75p during the year and the Company paid 4p in dividends, producing a total shareholder return of 59.8% for the year. This compares to a total shareholder return of 25.5% in 2010.

Since the changes to the Board in the middle of 2009, the total shareholder return has been 392.9%. The S & P LSTA All Loans Index, which the Company's managers believe to be the most relevant index against which to judge the performance, produced a 1.5% total return in 2011, compared to a 10.1% total return in 2010, 51.6% in 2009 and 28.2% since the changes to the Board. The market value return of the S & P LSTA All Loans Index for 2011 was -3.1%.

As the unprecedented market volatility created by the financial crisis abates, the Company is focused not only on maintaining the momentum of progress of the past two years, but also on achieving a more consistent and predictable return. The Company has seen a significant recovery in its share price but this should be put into perspective against prior year performance. Shareholders who subscribed at launch and increased their holdings through the share issue in 2009 are still some way from breaking even.

AMIC acquisition

The Company completed the acquisition of AMIC at the end of January 2011. By the end of June, the debt taken on to finance the acquisition had been repaid and by the end of the year the investments acquired had produced a 59.8% return on the equity issued as part of the transaction.

The loan to International Foreign Exchange Concepts was repaid as scheduled, we have received the expected deferred consideration from Hillview and the holding in IFDC was revalued with reference to its Net Asset Value, resulting in the recognition of a £1.3m uplift in value. The remaining position, a convertible and equity stake in Lombardia Capital Partners, valued at £1.5m on acquisition was restructured into a loan and a penny warrant with a value at year end of £2.0m (including £0.3m early repayment of the loan received in December). Both the holding in IFDC and the Lombardia loan are expected to contribute to the income generated by the portfolio in 2012.

We will continue to seek other opportunities to make value accretive acquisitions, but will only do so where the risk profile of GLIF is not adversely affected.

CISX listing

The listing on the CISX at the close of the AMIC transaction gave GLIF a listing on a Recognised Investment Exchange, which allowed our stock, for the first time, to be held by UK individuals in their Individual Savings Accounts. Given the high level of income produced by GLIF, it made sense to ensure that UK individuals could hold the Company's shares in as tax efficient a fashion as possible. Since the CISX listing we have seen a dramatic increase in the volume of transactions in the Company's shares on behalf of individuals.

Amended investment policy

Shareholders unanimously approved an amended investment policy at the time of the AMIC acquisition. This amended policy set out more extensively and quantifiably how the Company's assets were to be invested in future.

The core focus of the Company will continue to be investments in loans, directly or indirectly, and these are to represent at least 80% of net assets. Geographically the Company will at all times be more than 50% invested in the US.

These core principles will provide investors with comfort that the Company will not suffer from a strategic drift away from the loan market and at the same time will have the flexibility to take advantage of opportunities to add value, as we saw with the AMIC transaction, without being constrained by an overly prescriptive investment policy. The Company's equity and warrant portfolios, £8.7m at the year end, have the potential to add to performance in their own right, as well as providing further potential capital to be reinvested in the Company's core assets.

Changes in the Board

The changes made to the Board in June 2009 left GLIF with three Directors. Geoff Miller, as Non-Executive Chairman, steered the Company through its recovery from the extremes of 2009. During this time, having a small Board both kept costs down and allowed rapid decision-making at a time when both were necessary. However, by the early part of 2011 it was clear to the Board that a new structure would be needed to reflect the roles played by its members and to equip the business for the next step of the Company's evolution.

To reflect his hands-on involvement in the business, Geoff became an Executive Director of the Company, and I became Non-Executive Chairman. We also welcomed James Carthew to the Board. James brings extensive knowledge of the investment company market, as well as GLIF itself, having been a shareholder in his previous role of fund manager at Progressive Asset Management.

Investment Manager

We are fortunate to have one of the few investment managers with a successful and long-term track record of investing directing in loans, managing CLOs and managing portfolios of CLO paper.

This is particularly important as their diverse experience puts them in a strong position to take advantage of the flexibility of GLIF's investment policy and look at a potential universe of assets that is wider than our peers. It also allows them to bring a perspective that other managers may not have, particularly being a CLO manager themselves, when investing in third party CLO paper.

The managers have continued to provide an excellent service to the Company and their management has enabled GLIF to come through the aftermath of the financial crisis in good shape. However, the Total Expense Ratio ("TER") remains high and growth of the business will remain important in driving the TER lower.

To bring the Company more in line with the market, the Company's managers have agreed to future fees being calculated on the value of assets less the fair value of the Company's debt, rather than on gross assets. As at 31 December 2011 the value of the debt was £135.3m, and therefore, were the value of debt to remain constant, the annualised reduction in the fees would be 1.75% of this value, or £2.4m, versus a total management fee of £4.0m charged in 2011. We will see the benefit of this change from the end of the first quarter of 2012.

Review of T2 CLO I Ltd

The Company's largest investment is 100% of the income notes of T2 CLO I Ltd, ("T2 CLO equity"). These notes are entitled to the residual economics of T2 CLO I Ltd ("T2 CLO") that was set up as a funding vehicle for the Company in 2007. During the last year, the Company undertook a strategic review to potentially sell all or part of its holding. However, during the process, it became obvious that the extent to which the CLO equity market is driven by immediate income flows, and therefore more highly leveraged (and therefore more risky) CLOs are deemed by many market participants to be worth more than the less levered T2 CLO.

Given the perception of pricing by others, were we to have reduced our exposure to T2 CLO equity to invest in other CLO equity, we would have increased the risk profile of the business for no appreciable benefit.

We therefore took the decision not to sell any of our holding of T2 CLO equity. As at the year end the value of its assets less the par value of its debt was US$47.8m, including loans and cash with a face value (after deducting debt at par) of US$59.1m and equity valued by a third party valuation firm at US$3.8m.

Unlike most CLOs issued pre-crisis, a model using standard market assumptions would suggest that the eventual capital value of T2 CLO equity will be above the current market value of its loans less par value of its debt. The vast majority of US CLOs are trading at a value in excess of their forecast capital return, due to the high level of income received in the meantime.

As well as the potential for T2 CLO to provide capital upside, the structure provides very cheap funding of 0.75% above LIBOR until 2019. We believe that this is a very valuable asset for the Company.

Financials

As of 31 December 2011, the Company and its subsidiaries T2 CLO I Ltd and Asset Management Investment Company Ltd (the "Group") had invested assets with a fair value of approximately £193.3m, and cash of £23.7m (including £18.2m required to be retained within the CLO structure, available for new investment opportunities). The portfolio is comprised of variable rate investments and, on a weighted average basis, carried a spread of approximately 505 basis points over LIBOR on performing assets. The Group's Net Asset Value per Share ("NAV") as of 31 December 2011 was 73.4p (31 December 2010: 79.2p). For the year ended 31 December 2011 the Group recorded a profit, including net unrealised gains on investments and liabilities, of approximately £3.22m (31 December 2010: £11.05m). Basic earnings per Share for the period were approximately 3.30p (31 December 2010: 12.66p), and the total dividends per Share in respect of the year 2011 were 4.0p, unchanged from the previous year.

Change to basis of published and audited net asset value calculation

The accounting policy since the setting up of T2 CLO has been to account for the net asset value ("NAV") on a consolidated basis. As the borrowing costs associated with T2 CLO are extremely low, the fair value ascribed to the debt of T2 CLO in the Statement of Financial Position (£135.3m as at 31 December 2011) remains below its face value (£160.1m as at 31 December 2011), which increases GLIF's NAV (broadly equivalent to 25 pence per Share as 31 December 2011).

This increase in NAV provides an accurate calculation of the net present value of the potential future cash flows resulting from the below average cost of debt enjoyed within T2 CLO. However, it does not reflect a value that could be realised from the assets, should they not be held to maturity. Each NAV announcement has therefore included a warning to investors that the realisation of the full NAV is highly unlikely.

Were we to hold less than 50% of T2 CLO equity, it would not be consolidated. Instead, we would value the holding as an individual investment, at the fair value of this discrete investment, rather than the fair value of the underlying assets less the fair value of its liabilities.

If we were to use a fair value of T2 CLO equity, rather than the fair value of the underlying assets and liabilities, the NAV would be more representative of the immediate value within the portfolio, rather than the value over the life of the T2 CLO vehicle.

For this reason, the Board has decided that in future T2 CLO equity will be accounted for in the Statement of Financial Position as a discrete investment and it will be held at its fair value (the "Restated Basis"), rather than as currently its consolidated value based on the fair value of the underlying assets and liabilities, in order to provide investors with a better guide to the value of the assets held, were they not to be held to maturity.

The Board has concluded that the best approach to assess the fair value of the T2 CLO equity is to [take] the market value of the assets within the CLO, less the par value of the debt. As at the end of 2011 this would result in a value of £30.4m for the value of the T2 CLO equity, and £47.6m for the Company as a whole, or 48.3p per share.

The Board believes that the Restated Basis is better understood by the market than the previously published NAV basis, and represents the "immediate" value within the portfolio. It will also make GLIF's NAV more comparable with other investment companies with similar investment policies, which do not hold a position within any particular CLO of more than 50% and therefore do not consolidate.

The Company has published the market value of assets and debt at par calculation as a basis for net asset value since the end of 2009. The table below gives the quarterly values of this basis of net asset value calculation since June 2007, and the six-month net asset value calculation for the periods since the Company's inception, the previously published NAV and the share price at the close of business on the last trading day in the relevant period:

The NAV of GLIF as at 31 March 2012, and all future NAV's will be calculated on the Restated Basis as will the Audited Financial Statements for the year ended 31 December 2012. There will therefore be a one off technical adjustment to the NAV in the audited financial Statements for the year ended 31 December 2012 to reflect this change.

Investor Communication

As well as the Company's published accounts and regulatory news feeds through both the London Stock Exchange and the Channel Islands Stock Exchange, we have also enhanced the information available online through our website www.glifund.com. Amongst other things, the current portfolio statistics, and those for the past three years, are available and investors can sign up for news updates. For the first time this year we have a separate report from our investment manager within the results, as part of our drive to provide as much information to the market as we possibly can.

Prospects

We continue to be confident that the loan market will present excellent opportunities to provide both capital and income performance for shareholders in the long term. Investors in London are increasingly aware of the differentiated nature of the asset class and this bodes well for the future. As the market develops it is hoped that GLIF's uniquely broad investment policy will be appreciated for the enhanced flexibility it gives to take advantage of whatever opportunities the changing market conditions present.

While the year ahead will not be without its challenges, GLIF is well positioned for further growth and to continue to deliver good returns to investors.

Patrick Firth

Non-Executive Chairman

23 March 2012

INVESTMENT MANAGER'S REPORT

In 2011 the Company's portfolio was broadened, partly as a result of the acquisition of AMIC, and partly due to the dynamics of the loan portfolio. The income increased whilst the credit quality of the portfolio was broadly maintained.

Greenwich Loan Income Fund Limited's ("the Company") portfolio recorded a year of generally strong performance for 2011. The Company's CLO financing subsidiary T2 CLO I Ltd ("the CLO"), which holds the significant majority of the Company's portfolio assets, produced a strong performance during 2011 in both income and capital terms.

The CLO, which during the year represented the significant majority of the Company's revenue, generated income to the Company of US$10.8m for 2011, compared with income of US$9.6m for 2010. The fourth quarter's income, paid to the Company in January 2012, was US$3.3m, the highest level received by the Company from the CLO, as shown in the table below, of quarterly payments since inception of the CLO.

CLO Quarterly Income Payments Received By the Company

The level of activity within the CLO portfolio also rose during the year, as the level of prepayments continued to rise. To the extent the loans prepaid are purchased below par, this trend has a generally beneficial effect on the capital position of the Company. We were able to replace the loans being repaid at generally higher spreads, benefitting the income account. By contrast to the level of prepayments, the level of sales of loans remain relatively modest, at under 10% of the portfolio.

Whilst the income generated by the CLO increased over the year, so did the overcollaterization cushion. The level, which determines whether the Company receives the full amount of income due every quarter, increased during the year, from 4.0% as of 31 December 2010 to 4.7% as of 31 December 2011. To put the overcollaterization cushion into context, it would take a loss of US$11.8m in principal value of the underlying collateral (or 3.9% of the underlying collateral) to trigger a diversion of interest back into the CLO. Although this is a simplification of the way in which the calculation moves over time, it is illustrative of the magnitude of cover that the overcollateralization cushion that the CLO has. The overall market value of the CLO, less the par value of the CLO's debt increased from US$40.6m to US$45.8m, and the face value of loans, including cash, within the CLO increased from US$299.6m to US$303.4m.

The structure's weighted average spread increased from 4.20% as of 31 December 2010 to 5.05% as of 31 December 2011 as the Manager selectively invested in several additional second lien assets and some higher yielding first lien assets during 2011.

While this resulted in the CLO's Weighted Average Rating Factor ("WARF") score, which gives a measure of the overall credit rating of the portfolio, increasing slightly from 2803 to 2855, indicating a small reduction in the average credit rating of the portfolio during that same period, we believe that the 85bps increase in yield more than compensates us for the small increase in the WARF score. It should be noted that although the WARF score increased year over year, it is still lower than it was in September 2010 (2916) and significantly lower than in previous quarters. A WARF score of 2855 is the equivalent in ratings terms of between a B2 and B3 rating, unchanged from last year. At the height of the crisis, the WARF rose to 3691 which is the equivalent of a B3 rating.

The Company's Diversity Score has remained relatively stable at 31.0 as of 31 December 2011 compared to 31.6 as of 31 December 2010. Notwithstanding a requirement to maintain a certain degree of diversity within the portfolio to comply with the CLO's parameters, we continue to ensure that a broader range of sectors are represented within the portfolio than would be absolutely necessary, albeit that there will likely tend to be a technology bias due to the particular expertise that the manager brings. The CLO's top 3 industries (as designated by Moody's Investors Service, Inc.) as of 31 December 2011 were (i) Healthcare, Education and Childcare (14.8%); (ii) Electronics (12.8%); and (iii) Telecommunications (10.3%).

All of the metrics referred to above are reported on a quarterly basis, and their change over the past thirteen quarters can be viewed at www.glifund. The trend towards a better rated, higher yielding, more diverse portfolio can be tracked through these metrics. In addition to the quarterly portfolio statistics release, the Company also publishes the headline results of the CLO interest diversion tests on a quarterly basis through the London Stock Exchange and the CISX to provide further background information. These releases can also be accessed on the website.

Top Ten Debt Position Holdings by Company (Fair Value basis)

As at 31 December 2011, the portfolio held investments in 68 debt obligations (31 December 2010: 65) with a fair value of GBP180.5m (31 December 2010: GBP160.5m). The top 10 debt positions represent 34.20% of the portfolio by Fair Value (31 December 2010: 27.25%) and 21.18% of the portfolio by Principal Amount (31 December 2010: 26.76%).

The Topps Company, Inc. ("Topps") is a leading creator and marketer of distinctive sports trading cards, entertainment games and collectibles and confectionery products. It is majority owned by private equity firms Madison Dearborn Partners and the Tornante Company. The company's product lines include trading cards, sticker album collections and strategy games featuring Star Wars, Halo, World Cup Soccer and World Wrestling Entertainment. Topps Confectionery brands include Ring Pop, Push Pop, Baby Bottle Pop, Juicy Drop Pop lollipops as well as Bazooka bubble gum.

Decision Resources, Inc. ("DRI") provides high value information services across the pharmaceutical, biotechnology, managed care and medical technology markets. It is majority owned by private equity firm Providence Equity Partners. DRI's research assists healthcare companies in strategic and tactical planning in areas such as R&D to sales and marketing. The company's clients comprise the top 20 and 49 of the top 50 global pharmaceutical companies, all the key medical device companies, consulting firms and financial services companies. DRI's top 20 customers have been clients for over 10 years.

Pegasus Solutions, Inc. ("Pegasus") provides mission-critical technology and services to hotels and travel distributors. It is majority owned by private equity firm Prides Capital. The company's services include (i) central reservation systems and call centers for hotel companies, (ii) distribution services that link hotel reservation systems to travel agent systems and travel websites, (iii) third-party hotel marketing services and (iv) commission processing services for hotels, travel agents and travel websites. The company serves more than 65,000 hotel properties around the globe, including major hotel brands such as Best Western International Inc., InterContinental Hotels Group PLC, Kimpton Hotel & Restaurant Group, LLC and Marriott International, Inc., as well as thousands of travel websites, including Expedia.com, Orbitz.com and their own Hotelbook.com and Utell.com.

First Data Corp. ("FDC") is a global provider of electronic commerce and payment solutions for merchants, financial institutions, and card issuers. It is majority owned by private equity firm KKR & Company. The company has operations in 38 countries, serving over 5 million merchant locations and 1,900 card issuers. FDC operates its business in three primary segments: Commercial Services, Financial Institution Services, and First Data International.

kgb, Inc. f/k/a InfoNXX, Inc. ("kgb") is a non-carrier provider of Directory Assistance ("DA") and enhanced information services in the world, providing its branded service to markets in the U.K., France, Ireland, Switzerland, Austria and Italy and serving the corporate markets in the U.S., the U.K. and Ireland. It is majority owned by the Tisch family. DA is a service for callers to retrieve information from directory listings, such as phone numbers and address listings for individuals and businesses, across multiple platforms including mobile, landline phone and the Internet.

Corel Corporation ("Corel") is a global packaged software company with an estimated installed base of 20 million users in over 75 countries. Corel's software products are generally value oriented digital media, productivity and PC utility software that are sold pre-packaged by PC manufacturers such as Dell Inc. Corel is majority owned by private equity firm Vector Capital.

Vantiv, LLC ("Vantiv") is an electronic payment processor offering a comprehensive range of processing services to both merchant customers and financial institutions (such as banks and credit unions). Vantiv is majority owned by private equity firm Advent International, and Fifth Third Bank. The company is the third largest merchant acquirer in the U.S. and the largest PIN debit acquirer in the U.S., supporting national retailers in the supermarket, drug store, restaurant and retail segments. Vantiv also provides products and services that allow financial institutions to outsource their debit card offering.

US FT Holdco Inc ("Fundtech") is a provider of bank-to-bank and bank-to-corporation payments and banking technology with a suite of SaaS and licensed solutions for small, medium, and large financial institutions and corporations globally. The Company was formed through the combination of legacy Fundtech (acquired by GTCR in September 2011) and BankServ (acquired by GTCR in August 2011), both of which provide similar products and services. Fundtech's products are designed to facilitate all aspects of the payments supply chain - from customer initiation through electronic payment and cash management solutions, to middle-office information reporting, to back-office payment transaction processing and financial messaging.

DG FastChannel, Inc. ("DG") is a leading provider of technology-based digital media services to the advertising, broadcast and publishing industries. DG is publicly traded on the NASDAQ with ticker symbol DGIT. DG's digital media solutions include content distribution, media production and duplication, online creative research and digital management of advertising, news and syndicated content. DG's core business is the delivery of TV and radio advertisements on behalf of advertising agencies to broadcast stations (TV, radio, print, Internet, and mobile) throughout North America via its proprietary network. In June 2011, DG acquired MediaMind Technologies, Inc. ("MediaMind"). MediaMind is a global provider of digital advertising campaign management solutions to advertising agencies and advertisers.

UniTek Global Services, Inc. ("UniTek") is a full-service provider of permanently outsourced infrastructure services, offering an end-to-end suite of technical services to the wireless and wireline telecommunications, satellite television and broadband cable industries, operating throughout the U.S. and Canada. Unitek is publicly traded on the NASDAQ with ticker symbol UNTK. The company's services include network engineering and design, construction and project management, comprehensive installation and fulfillment, and wireless telecommunication infrastructure services. The company's primary client base consists of several telecom and satellite operators such as DirecTV, Comcast, and Verizon.

Equity & other holdings

In addition to those debt positions noted above, the Company's portfolio currently includes several equity positions which are described below (Provo Craft and CBA Group are held in the CLO, the remaining positions are held directly by GLIF):

Provo Craft and Novelty, Inc. ("Provo") is the leading designer and marketer of electronic cutting systems ("ECS"), marketed primarily under the 'Cricut' brand name, and related craft products in the United States. Headquartered in Spanish Fork, Utah, the company has developed a unique product line, including a variety of electronic cutting and manual machines and branded consumables, such as cutting tool content cartridges and accessories.

Koosharem Inc. d/b/a SelectRemedy ("Select") is a privately-held, diversified staffing company headquartered in Santa Barbara, California. Upon completion of the acquisition of RemedyTemp in June 2006, Select became the largest provider of temporary staffing in California by revenue and the twelfth largest staffing company in the U.S.

Stratus Technologies, Inc. ("Stratus") provides fault tolerant products, servers and services that achieve and sustain high levels of reliability for companies that need 99.999% up time (equivalent to less than 5 minutes down time annually in continuous operation) to run their mission critical businesses. These include platforms that run the 911 emergency systems in municipalities, ATM machines and telecom switches.

CBA Group ("CBA") is a company focused on the manufacturing of components and systems utilized in the assembly of printed circuit boards (PCB's) by original equipment manufacturers and contract electronics manufacturers. CBA group is comprised of two independent businesses, Universal Instruments and Hoover-Davies.

IFDC is an independent asset manager, which has specialised in investment management in the Japanese stock markets since 1984. Focused investment management during several economic cycles has contributed to an intimate knowledge of these markets. IFDC is the only Japan manager which has consistently received a AAA rating by Standard & Poor's each year for the past 10 years.

Lombardia Capital Partners is a Pasadena-based asset manager of value oriented equity strategies. The Company manages in excess of US$2bn in assets, primarily for large pension funds and other institutional funds. We acquired the holding as part of the acquisition of AMIC, and the position is held as a penny warrant, giving GLIF the right to subscribe for 2.65% of LCP's equity for a nominal sum.

The value of the equity investments at 31 December 2011 was US$8.4m (31 December 2010: US$1.1m). The main driver to this significant increase was the acquisition of AMIC.

Whilst the equity holdings provide the potential to provide returns, the core investment of GLIF will always remain its loan portfolio, and as equity positions are exited, the proceeds generated will be recycled into the loan portfolio. The equity positions are valued independently.

Outlook

The Company's investment manager believes that the portfolio is well-positioned to continue to generate productive returns, and the manager is focused on a wide range of opportunities which it believes the markets currently present.

We believe that the 2008/2009 credit crisis continues to represent a useful milestone against which to consider the current state of the market. Market stresses during that period caused (or reflected) a series of failures and restructurings among many financial institutions, which had participated in the origination and distribution of structured finance and syndicated loan credit products and/or invested in them. The debt and equity capital markets in the U.S. were dramatically impacted by significant write-offs in the financial services sector relating to these products and the re-pricing of credit risk in the loan market, among other things.

These events constrained the availability of capital for the market as a whole, and for the financial services sector in particular. During 2009, the syndicated corporate loan market experienced both unprecedented price declines and volatility. While prices remained relatively depressed across many sectors and ratings categories through most of 2009, we witnessed a strong upward move during the second half of 2009 which continued through 2010. During 2011, we saw ongoing price volatility for corporate loans and their derivatives (consistent with many other parts of the debt and equity markets), but with a generally stronger tone to the market and with notably improved liquidity.

We believe that the current state of the U.S. corporate credit market is generally sound, while noting that the structural challenges presented by the weakest elements of an increasingly interconnected global financial system (reflecting an inexorably linked global economy) continue to represent significant risk factors.

Although some corporate loan prices may still be below historical averages, our view is that certain, primarily larger-issuer, broadly syndicated corporate loans still may not adequately reflect the spreads necessary to compensate investors for the risks involved.

The investment manager's mandate with regards to the management of the Company's portfolio is to seek to produce the highest possible risk-adjusted rate of return within the parameters set out within the investment objective and the investing policy by focusing primarily on investments in corporate debt. Those investments may take a variety of forms, but, in general, have involved the purchase of first-lien, senior secured middle-market syndicated corporate loans (either directly or through the Company's CLO-based financing subsidiary). More recently, the investment manager has reviewed a significant number of secondary interests in third-party CLO structures (a strategy that an affiliate of the investment manager has employed since 2009) and in November of 2011 made two initial purchases within that asset class on behalf on GLIF.

Structurally, CLO vehicles are entities that were formed to originate and manage a portfolio of loans. The loans within the CLO vehicle are limited to loans which meet established credit criteria and are subject to concentration limitations in order to limit a CLO vehicle's exposure to a single credit. A CLO vehicle is formed by raising various classes or "tranches" of debt (with the most senior tranches being rated "AAA" to the most junior tranches typically being rated "BB") and equity. The CLO vehicles which we have focused on are collateralized primarily by Senior Loans, and generally have very little or no exposure to real estate, mortgage loans or to pools of consumer-based debt, such as credit card receivables or auto loans.

A CLO market report recently produced by RBS stated the following: "Given the above average performance of the loan market, combined with our positive corporate credit outlook, we expect distributions to equity investors will remain uninterrupted. With CLO equity trading at 17-22% yields at 2 CDR*, and averaging 31% annualised cash-on-cash returns, it remains our favorite part of the capital structure. Moreover, given the front-loaded nature of equity cash flows, we believe returns will remain attractive even if we go through another credit cycle with high defaults." (Source: RBS February 2012 CLO Report dated 14 February 2012)

As of 29 February 2012, Citibank's structured credit trading desk reports that CLO equity is trading at 14%-20% yields and junior-most debt tranches are trading at yields of 11.5% - 12.5%. (Source: Citibank structured credit trading desk run dated 29 February 2012). This compares to GLIF's stated target return of 10-15% return from its portfolio.

From a broader perspective, we believe that the Senior Loan market has and continues to represent an attractive area for investment. We believe that the CLO equity and junior debt investments we have recently focused on currently represent, as a class, an opportunity to obtain attractive risk-adjusted investment returns. We believe that a number of factors support this conclusion, including:

§ The long-term and relatively low-cost of capital that many CLO vehicles have secured, compared with the increasing asset spreads and the introduction of more LIBOR floors, have created opportunities to purchase certain CLO equity and junior debt instruments that may produce attractive risk-adjusted returns.

§ CLO equity and junior debt have generally become more liquid since mid-2009. From late 2007 through mid-2009, these assets traded only very infrequently. We believe that greater recent liquidity in this market has created an opportunity to better analyze and compare various equity and debt instruments from among a large number of different structures.

§ Although Senior Loan asset prices have risen since mid-2010, CLO equity and junior debt instruments still offer attractive risk-adjusted returns.

§ Larger institutional investors with sufficient resources to source, analyze and negotiate the purchase of these assets may refrain from purchasing assets of the size that we are targeting, thereby potentially reducing the competition for our target investments.

§ Investing in CLO securities and CLO equity instruments in particular, requires a high level of research and analysis. We believe that typically this analysis can only be adequately conducted by knowledgeable market participants with a history of operating in this sector, as the nature of that analysis tends to be highly specialised.

§ A stronger credit market for Senior Loans has substantially reduced the risk of collateral coverage test violations across many CLO structures, thereby reducing the risk that current cash distributions otherwise payable to junior debt tranches and/or equity will be diverted under the priority of payments to pay down the more senior obligations in various CLO structures.

§ The US CLO market is relatively large with a total par value of approximately US$250 billion invested in over 500 different CLO vehicles. We estimate the size of the junior-most debt tranches (specifically the tranches originally rated "BB") is approximately US$9.0 billion (of which "turbo BB" tranches are an attractive sub-segment), and the size of the equity tranches is approximately US$20 billion.

In summary, we believe that the Company's investment strategy offers the potential for strong risk-adjusted returns and will continue to monitor ongoing opportunities for the purchase of CLO-related assets, in addition to those opportunities available to us in the primary and secondary syndicated corporate loan markets.

T2 Advisers, LLC

Investment Manager

23 March 2012

*2CDR refers to a constant default rate assumption of 2% per annum. 

Greenwich Loan Income Fund Limited

For the year ended 31 December 2011

CONSOLIDATED AND COMPANY INCOME STATEMENTS

All of the profit for the current and prior years relates to the equity holders of the parent.

The accompanying notes form an integral part of these financial statements.

Greenwich Loan Income Fund Limited

For the year ended 31 December 2011

CONSOLIDATED AND COMPANY STATEMENTS OF COMPREHENSIVE INCOME

The accompanying notes form an integral part of these financial statements.

Greenwich Loan Income Fund Limited

As at 31 December 2011

CONSOLIDATED STATEMENT OF FINANCIAL POSITION

The financial statements were approved by the Board of Directors on 23 March 2012 and were signed on its behalf by:

Director: Patrick Firth

The accompanying notes form an integral part of these financial statements.

Greenwich Loan Income Fund Limited

As at 31 December 2011

COMPANY STATEMENT OF FINANCIAL POSITION

The financial statements were approved by the Board of Directors on 23 March 2012 and were signed on its behalf by:

Director: Patrick Firth

The accompanying notes form an integral part of these financial statements.

Greenwich Loan Income Fund Limited

For the year ended 31 December 2011

CONSOLIDATED AND COMPANY STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY

*During the year the Company made four dividend payments of 1p per Ordinary Share, 4p per Ordinary Share in total.

The accompanying notes form an integral part of these financial statements.

Greenwich Loan Income Fund Limited

For the year ended 31 December 2011

CONSOLIDATED AND COMPANY STATEMENTS OF CASH FLOWS