2026

Real Estate Credit Investments Limited

Annual

Report and

Accounts

credit markets

Overview 02

Overview and Highlights 02

At a Glance 04

About the Company 06

Key Performance Indicators (“KPIs”) 11

Business and Strategy Review 12

Strategic Framework and Performance Highlights 14

Strategic Report 16

Investment Manager’s Report 20

Directors’ Report 42

Remuneration Committee Report 46

Corporate Governance Statement 48

Audit and Risk Committee Report 54

Directors’ Responsibility Statement 58

Financial Statements 60

Independent Auditor’s Report 62

Statement of Comprehensive Income 67

Statement of Financial Position 68

Statement of Changes in Equity 69

Statement of Cash Flows 70

Glossary 97

OVERVIEW

Western European real estate credit markets

since October 2013

Granular portfolio with detailed disclosure • 26 positions

Attractive and stable income in a

changing interest rate environment

risk-free rates

average life, ensures minimal exposure to yield widening

and the ability to redeploy at higher rates quickly

Access to Cheyne’s established real estate investment team and substantial origination pipeline

RECI Offers:

credit, with defensive

Loan-to-Values (“LTVs”)

control over its

anddiversified

leverage profile

Management

from Cheyne’s

Real Estate team

Large,

experienced,

OVERVIEW

Kingdom, France and Spain.

The Company’s aim is to deliver a stable quarterly dividend with minimal portfolio volatility, across economic and credit cycles,

through a levered exposure to real estate credit investments.

RECI’s investments are predominantly in Self-Originated Loans and Bonds. The Company also holds a small portfolio of Market

Bonds (listed real estate debt securities such as Commercial Mortgage Backed Securities (“CMBS”)).

Investment Portfolio Composition

RECI’s investment portfolio, a diversified book of 26 positions in real estate bonds and loans, was valued at £404.5 million including

yield of 11.5% and an average LTV ratio of 66.8% as at 31 March 2026.

OVERVIEW

Real Estate Credit Investments Limited (“RECI” or the

“Company”) is incorporated in Guernsey, governed by

the Companies (Guernsey) Law, 2008 (as amended) (the

“Companies Law”) and regulated as an authorised closed-

ended investment scheme by the Guernsey Financial Services

Meeting (“AGM”) in September 2026, and a continuation

resolution will be put to Shareholders in 2029.

The Company invests in real estate debt secured by

value in real estate debt. In making these investments, the

Company uses the expertise and knowledge of its Alternative

Investment Fund Manager (“AIFM”), Cheyne Capital

The shares are currently listed and traded on the Main

Market of the London Stock Exchange. The shares offer

investors a leveraged exposure to a portfolio of real estate

credit investments and pay a quarterly dividend.

The Company has a dedicated website, which can be found

The Investment Objective of the Company is to provide

Shareholders with attractive and stable returns, primarily in

the form of quarterly dividends, by exposure to a diversified

portfolio of real estate credit investments, predominantly

comprising real estate loans and bonds.

Investment Policy

To achieve the Investment Objective, the Company invests

and will continue to invest in real estate debt secured by

commercial or residential properties in the United Kingdom

and Western European countries.

The Investment Objective of the Company

is to provide Shareholders with attractive

and stable returns, primarily in the form of

quarterly dividends.

The real estate credit investments may take different forms

but are likely to be:

(i) secured real estate loans, debentures or any other forms

of debt instruments (together “Secured Debt”). Secured

real estate loans are typically secured by mortgages over

at the time of investment;

(ii) listed debt securities and securitised tranches of real

estate related debt securities, for example, residential

mortgage-backed securities and commercial mortgage-

backed securities (together “CMBS”). For the avoidance

of doubt, this does not include equity residual positions

in CMBS; and

(iii) other direct or indirect opportunities, including equity

BUSINESS AND STRATEGY REVIEW

Senior real estate lending remains a high conviction theme

Objectives

Performance Highlights

• RECI’s investment portfolio is a diversified book

of 26 positions in real estate loans and bonds.

• Over the course of the last financial year, RECI funded

£185.6 million into existing deals, with eight new

commitments to deals.

• The investment portfolio stands at £404.5 million as at

31 March 2026 which is spread across 26 positions with

a weighted average levered gross yield of 11.5% and an

average LTV of 66.8%.

• Paid out dividends of 3.0 pence per share each quarter,

12.0 pence over the year.

• A total of £26.6 million in dividends returned to our

Shareholders using net earnings (£15.2 million) and

other cashflows from the portfolio.

• Continues to optimise funding lines.

BUSINESS AND STRATEGY REVIEW

The Investment Objective and Investment Policy are set

out on page 6, along with a further paragraph “About the

Authority (“FCA”). Cheyne is a limited liability partnership

registered in England and Wales on 8 August 2006 and

is authorised and regulated in the conduct of investment

business in the United Kingdom by the FCA. Cheyne is also

the AIFM of the Company. Cheyne has offices in London,

Berlin, Madrid, Bermuda, Dubai, Dublin, Monaco, Munich,

New York, Paris, Sydney and Zurich.

A review of performance is contained in the Key

Performance Indicators (“KPIs”) section and the Investment

Manager’s Report.

A number of performance measures are considered by

The Board has overall responsibility for optimising the

Company’s performance by directing and supervising the

• statutory obligations and public disclosure;

corporate structure and the management of the share capital

of the Company.

Committee determines Directors’ remuneration and sets

in the Directors’ Responsibility Statement. The Board is also

reports and other price-sensitive public reports.

over a longer period than the 12 months required by the

The Board has identified a number of principal risks, which

are detailed in the Risk management section of this report

and has taken these into account when considering the

long-term viability of the Company. Consideration has been

given to the current market environment, including the

ongoing economic impacts of relevant geopolitical and

reviews projected cash flows arising from the loan and bond

portfolio over the lifetime of the underlying investments

including interest income, realisation proceeds, short-term

finance obligations and dividend cover.

The Board reviews stress testing performed by the Investment

Manager on projected cash flows under a number of adverse

watch list, reduced cash flows from the investment portfolio,

the inability to refinance repurchase agreements secured

against market bonds and a combination of these events.

developments affecting the underlying assets, borrower

credit quality and the timing and amount of cash recoveries

from the loan portfolio. In the scenario where repurchase

facilities cannot be refinanced, it is assumed that the

underlying market bonds are sold in an orderly manner to

repay the associated borrowings, thereby removing the

considered the continuity of its investment management

arrangements. Given the established nature of the Investment

Manager’s platform and its broader activities across a range

expects these services to continue for the foreseeable future.

Based on the foregoing analysis, the Directors have a

reasonable expectation that the Company has sufficient

due over the three-year period to 31 March 2029.

Risk Management

manage all risks associated with the Company, mitigating

these either directly or through the delegation of certain

responsibilities to the Audit and Risk Committee and

The Board monitors investment strategy and performance

on an ongoing basis and regularly reviews the Investment

sentiment with aim of keeping the Company attractive to

its Shareholders. The Board is committed to promoting the

Company with the long-term aim of its share price trading

at or around NAV and considers all options to achieve this.

Strategic Report (continued)

in attractive high-yielding opportunities to enhance RECI’s

at each Board meeting.

Details of the buyback programme are set out on page 9.

expected, or principal may be repaid earlier than anticipated,

causing the return on affected investments to be less than

As a result, the level of dividends and other distributions

The Investment Manager regularly provides the Board with

reports on pipeline opportunities, which include analysis of

loans which includes analysis of the likelihood of any early

repayments which may impact returns.

of the Company to these risks and the sensitivity to changes

The Company’s market risk is managed on a daily basis by

the Investment Manager. The Board reviews reports from

the Investment Manager on compliance with investment

limits and exposures to market risk on a quarterly basis.

that comprise its portfolio of real estate debt instruments

interest income. Judgements over fair value estimates could

The Company carries its investments and loan liabilities

at fair value in accordance with IFRS 9 and establishes fair

value utilising the methodology set out in Note 14(d) to the

financial statements. The Audit and Risk Committee carries

out a review of the valuation of the Investment Portfolio as

described in its report on page 56.

borrowers of the loans and bonds in which it invests may

default on their obligations or that certain events may occur

which have an immediate and significant adverse effect

on the value of such instruments. A loan may become a

defaulted obligation for a variety of reasons, including

non-payment of principal or interest, as well as covenant

violations by the borrower. In the event of any default, the

Company will bear a risk of loss of principal and accrued

of the underlying assets, and loan covenant compliance.

The Board reviews the watch list and commentary received

from the Investment Manager on a quarterly basis.

difficulty in meeting obligations associated with financial

liabilities on a timely basis.

committed on new investments, dividends, expenses and the

Much of the market for market bonds and real estate loans

is relatively illiquid and some investments may not be freely

tradable. Where the Company acquires investments for

and other conditions may be limited.

BUSINESS AND STRATEGY REVIEW

Supporting the growth in European

we have had during this past year.

real assets space, thrown up by volatile governments (and

policy) and war.

Macro volatility and implications for

growth and persistent higher inflation.

to global assets (and real estate in particular):

operators to locate key people to where they need to be. There

Positioning for stability

Cheyne Real Estate

Hence, the challenge for the real asset community is how

dealing with a very high degree of uncertainty.

manage the downside against volatility, earning a high return

and being able to constantly recycle its capital.

Elevated rates and lower valuations make capital recycling

difficult for equity investors. Whilst there will be an impact

on delays for senior lending, the recovery of capital (and

timing of this) is far less an issue for senior secured lending.

This past year, RECI continued to realise a healthy number

of investments (and at realised returns which are perhaps

RECI fully realised four loan investments, totalling

Senior loan for the development of later living build-to-sell assets

across three locations in the UK £8.3m 9.3%

Senior loan for the acquisition and development of industrial sites in the UK £59.9m 8.7%

Senior loan to refinance a later living development in London £17.7m 8.1%

payments, maintenance of a cash buffer and also

share buybacks.

loans collateralised by real estate assets (spanning income

producing assets through to development) in Europe and

the UK.

return for the senior secured risk. This has been a persistent

feature of RECI’s senior lending book. The main drivers for

these remain in place, namely, the very high barriers to entry

into a specialised asset class for alternative lenders. Unlike

corporate direct lending, real estate lending requires a large

list of skills and a substantial platform of people, systems,

is especially lacking in the UK and Europe.

Local banks remain healthy with defensive balance sheets in

the real estate space. They do offer support to RECI in the

and markets.

Cheyne Real Estate has seen its volume of loan production

increase significantly since 2022 and forecasts a continued

trend of growth in its lending across Europe. It has offices in

London, Madrid, Paris, Berlin and origination staff across

the rest of Europe. In each jurisdiction, the demand for

capital is significant.

RECI, subject to the competing uses of its capital, should

participate in this volume growth at these higher returns.

Investment Manager’s Report (continued)

against the individual loan investments.

to fund its investments.

Whilst we do expect the cost of financing to increase with

global volatility, we are confident in the strength of those

its investments.

The RECI senior loan book is resilient across its 21 deals. There

have been no additions to the challenged loan investments

its offices in France that have seen a slow take up post

the pandemic.

The second (larger), asset is located stronger northwest

district (6.7% of NAV). This building is now under offer for

substantially all of its available space to a Grade A tenant.

Whilst that is positive on the leasing aspect, the liquidity for

further capital formation, on the reinvestment of loan

repayments into new investments.

The landscape of senior lending, at scale, into UK and

the need for assets and the need for funding those assets.

entrants. Investors and borrowers tend to favour established

managers with a long track record, strong relationships and

proven experience through market cycles.

All of this supports the need for RECI to participate in the

production of new senior loans alongside Cheyne.

Sustainability Report (continued)

Sustainability risks also form part of the ongoing monitoring

of RECI’s investments, with regular reports and ongoing

information related to sustainability risks provided to the

will assist borrowers and issuers in addressing ESG-related

issues and support its borrowers’ and issuers’ efforts to

report externally and internally on their ESG approach and

performance in relation to material sustainability risks.

Exit

ESG considerations are already having an impact on

underlying real estate values and whilst clear data driven

evidence is in its infancy, the Investment Manager is acutely

aware that during the life of the loans that RECI is writing,

this will become much clearer. As such this is an important

the Cheyne real estate lending funds finance: standing,

refurbishment and development assets, together with a

borrower questionnaire. An ESG data template has also been

prepared (one template for all asset types).

The questionnaires seek to quantify each investment’s

performance against key ESG criteria, utilising a consistent

approach to enable aggregation across the assets within the

level to effect a conversation about enhancing the ESG

characteristics if they are not up to Cheyne’s standards.

A range of external guidance and best practice standards

have been used to inform the development of the ESG

• Building Research Establishment Environmental

Assessment Method (“BREEAM”)

• EU Taxonomy

• Sustainable Finance Disclosure Regulations (“SFDR”)

• Minimum Energy Efficiency Standards (“MEES”)

The Company knows that its Shareholders, including the

Directors of the Company, see attention to ESG factors as

critical in its assessment of Cheyne as the Investment

Manager. The Company expects ESG to remain a dominant

theme within the financial services industry going forward;

the course being taken by regulators suggests that its

importance will only increase in years to come; the research

formulate a Decarbonisation Strategy, represents the next

phase of the Investment Manager’s ESG evolution. This

commitment reflects the Investment Manager’s dedication to

environmental stewardship, sustainability, and the wellbeing

of the communities it serves. As part of its involvement

with this project, the Investment Manager will assess the

alignment of its investments with the CRREM framework,

• Use capital to drive/accelerate change in the real estate

arena in regard to ESG; and

• Provide a measurable approach to understanding the

ESG dynamics of our portfolio.

Looking ahead, one of the main focuses will be on evolving

will produce its third FCA TCFD entity report. Cheyne will

also be producing a publicly available FCA TCFD product

level report for RECI, due to its role as Investment Manager.

The Investment Manager is monitoring the European

Commission’s legislative proposal published in November

2025 to overhaul the Sustainable Finance Disclosure

Regulation (“SFDR”), which introduces a fundamental shift

18 months following entry into force and, on current

indications, unlikely to take effect before 2027–2028.

Responsible Investment Highlights 2026

Office Asset (United Kingdom)

• The building has achieved

• Building’s energy usage has

• The Sponsor has several

• The Sponsor participates in a

Co-Living Scheme (United Kingdom)

Responsible Investment Highlights 2026 (continued)

Residential Development (United Kingdom)

• Air source heat pump

• Delivered under a robust

• Independently monitored by

Governance

Management Team 40

Remuneration Committee Report 46

Corporate Governance Statement 48

GOVERNANCE

Andreas Tautscher

Mr Tautscher is an experienced Financial Services former

executive who now focuses on acting as an Independent

Deutsche Bank and was most recently CEO Channel Islands

and Head of Financial Intermediaries for EMEA and LATAM.

He also sat on the UK Regional Governance Board of Deutsche

on Local Government advisory committees and was for six

before moving to PricewaterhouseCoopers CI LLP where he

qualified as a Chartered Accountant in 1994. He has been a

member of the Board since May 2024.

Colleen McHugh

Mrs McHugh is an experienced investment professional with

Chief Investment Officer at Wealthify, a UK-regulated digital

adviser within the Aviva PLC group, and previously as Managing

Director of 1818 Venture Capital, a Guernsey-based licensed

asset manager. In addition to her executive experience, Colleen

serves as a non-executive director on the boards of listed

Chartered Wealth Manager and a Fellow of the Chartered

Institute for Securities & Investment (CISI). She holds an

Economics degree from the University of Ireland, Galway,

from the CFA Institute. She has been a member of the Board

since March 2021.