Holding(s) in Company

1. Identity of the issuer or the underlying issuerof existing shares to which voting rights areattached: ii

GCP Asset Backed Income Fund Limited

2 Reason for the notification (please tick the appropriate box or boxes):

An acquisition or disposal of voting rights

An acquisition or disposal of qualifying financial instruments which may result in the acquisition of shares already issued to which voting rights are attached

An acquisition or disposal of instruments with similar economic effect to qualifying financial instruments

An event changing the breakdown of voting rights

X

Other (please specify):

3. Full name of person(s) subject to thenotification obligation: iii

Bank of Montreal

4. Full name of shareholder(s)  (if different from 3.):iv

See box 9 below

5. Date of the transaction and date onwhich the threshold is crossed orreached: v

14th February 2017

6. Date on which issuer notified:

15th February 2017

7. Threshold(s) that is/are crossed orreached: vi, vii

5%

8. Notified details:

A: Voting rights attached to shares viii, ix

Class/type ofshares

if possible usingthe ISIN CODE

Situation previousto the triggeringtransaction

Resulting situation after the triggering transaction

NumberofShares

NumberofVotingRights

Numberof shares

Number of votingrights

% of voting rights x

Direct

Direct xi

Indirect xii

Direct

Indirect

JE00BYXX8B08

11,000,000

11,000,000

11,000,000

11,000,000

4.51%

JE00BYYS2J04

-

-

1,000,000

1,000,000

0.41%

B: Qualifying Financial Instruments

Resulting situation after the triggering transaction

Type of financialinstrument

Expirationdate xiii

Exercise/Conversion Period xiv

Number of votingrights that may beacquired if theinstrument isexercised/ converted.

% of votingrights

C: Financial Instruments with similar economic effect to Qualifying Financial Instruments xv, xvi

Resulting situation after the triggering transaction

Type of financialinstrument

Exercise price

Expiration date xvii

Exercise/Conversion period xviii

Number of voting rights instrument refers to

% of voting rights xix, xx

Nominal

Delta

Total (A+B+C)

Number of voting rights

Percentage of voting rights

12,000,000

4.92%

9. Chain of controlled undertakings through which the voting rights and/or thefinancial instruments are effectively held, if applicable: xxi

Bank of Montreal is the parent company of the BMO Financial Group. The following controlled undertakings each hold voting rights of 3% or more of the issuer. All controlled undertaking(s) as detailed are wholly owned subsidiaries of the Bank of Montreal. Controlled undertakings can exercise voting rights independently.

Proxy Voting:

10. Name of the proxy holder:

11. Number of voting rights proxy holder will ceaseto hold:

12. Date on which proxy holder will cease to holdvoting rights:

13. Additional information:

Calculation based on Total Voting Rights of 243,862,083 as at 14th February 2017

14. Contact name:

Mostafa Dehghanpour

15. Contact telephone number:

020 7011 5199