Marble Point Loan Financing Limited Net Asset Value & Publication of Monthly Report (9461N)

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RNS Number : 9461N

Marble Point Loan Financing Limited

24 January 2019

NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, DIRECTLY OR INDIRECTLY, TO U.S. PERSONS OR IN OR INTO THE UNITED STATES, AUSTRALIA, CANADA, THE REPUBLIC OF SOUTH AFRICA OR JAPAN, OR ANY OTHER JURISDICTION, OR TO ANY PERSON, WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAW.

24 January 2019

Marble Point Loan Financing Limited

Unaudited Net Asset Value and Publication of Monthly Report

As at the close of business on 31 December 2018, the estimated unaudited net asset value ("NAV") per Ordinary Share of Marble Point Loan Financing Limited ("MPLF") is as follows:

 
   Share class      December Month     November     Monthly Change      Total Return 
                      End NAV (1)      Month End       in NAV (1)      since Admission 
                                        NAV (1)                              (1) 
 Ordinary Shares      USD 0.8172      USD 0.8600     USD (0.0429)         (13.04%) 
                   ----------------  ------------  ----------------  ----------------- 
 

MPLF's NAV total return declined 4.98% in December as the broad-based selloff in loans that picked up steam in November accelerated further in December. The average price of the CSLLI fell 2.74 points during the month to 94.09, marking the worst month for loans in over seven years. For reasons described below, we believe the drawdown in loans was principally technical in nature. Much of the selloff was concentrated in large, more liquid loans and there was only a limited increase in the number of loans trading at deeply discounted prices (which would indicate credit risk). During one of the worst months on record for US equities, the CSLLI, the ICE BAML HYI and the S&P 500 Index registered total returns of -2.29%, -2.19% and -9.03%, respectively.(2)

We believe that the technical factor that drove the decrease in loan prices during December was forced selling from retail loan funds which suffered over $15 billion of net outflows during the month, according to J.P. Morgan. During the last week of December, the largest weekly outflow ($3.5 billion) in the history of the market was reported. In the fourth quarter, total outflows were over $20 billion. Moreover, we believe retail loan funds may have sought to raise more cash than was required to meet redemptions partially in anticipation of the more limited market liquidity that is typical of the year-end holiday season.

Subsequent to month end and as at 18 January, retail net outflows have moderated with a month to date net outflow of approximately $1.8 billion, according to J.P. Morgan. The easing of selling pressure from retail funds and opportunistic buying by many who felt the market was oversold, enabled the CSLLI to retrace a significant portion of its December loss, increasing in price by 1.94 points to 96.03 as at 18 January.

While the market wide decline in the prices of CLO equity, which is taken into account when determining the fair value of MPLF's portfolio, was reflective of the risk-off sentiment that impacted all markets during the month of December, we believe the cash flow generating capabilities of our CLOs were not adversely impacted in any material respect. Since the Marble Point CLOs were not forced sellers of loans during the market decline, the steep drop in loan prices in December presented an opportunity to increase the level of investment in loans at attractive prices. During the month, the Marble Point CLOs and other investment vehicles comprising MPLF's underlying portfolio deployed a net aggregate amount of over $200 million. All else equal, this investment activity and continued deployment of capital raised are expected to result in enhanced cash flows from MPLF's investments in the future.

The closing of Marble Point CLO XIV on 31 December 2018 allowed MPLF to crystalize its return on the associated LAF in which MPLF had invested $28 million, achieving a realized IRR of over 15%. As previously announced, Marble Point CLO XIV had a modeled effective yield of 12.4% as of pricing on 6 December 2018, however, a substantial portion of the CLO's loan portfolio was subsequently acquired in the loan market during the period prior to closing. Finally, during the month of December, MPLF invested $15 million of proceeds from its notes offering in a newly formed LAF which is presently accumulating loans with the intention of converting the LAF into a new CLO investment in the future.

During December, 12 new U.S. CLOs were issued, representing approximately $5.7 billion of volume, according to LCD. Total new U.S. CLO issuance of $128.9 billion for 2018 was the highest on record, eclipsing the previous high of $124 billion in 2014. In addition to a strong year for new CLO issuance, 2018 also saw significant volume in refinancings and resets. In December, refinancing volume was $1.6 billion and reset volume was $1.2 billion, bringing 2018 totals to $33.8 billion and $122.1 billion, respectively.

The S&P/LSTA Leveraged Loan Index ended 2018 with a lagging 12-month default rate of 1.63% with Catalina Marketing representing the sole defaulting issuer in December. MPLF had 0.07% exposure in its underlying investment portfolio to Catalina Marketing as at 31 December 2018.

MPLF's December 2018 Monthly Report is available on its website: www.mplflimited.com

(1) NAV figures are provided for informational purposes only and are unaudited, estimated by Marble Point Credit Management LLC ("Marble Point"), the investment manager of MPLF, and subject to adjustment. Marble Point estimates MPLF's NAV on a monthly basis. Estimates with respect to a date falling on a calendar quarter end are subject to revision when the quarterly NAV is determined. NAV is calculated as the sum of the value of MPLF's investment portfolio, any cash or cash equivalents and other assets less liabilities. NAV total return figures shown are estimated, unaudited and subject to adjustment and reflect the net total NAV return, inclusive of dividends, for the periods shown and as from MPLF's admission to the Specialist Fund Segment of the London Stock Exchange on 13 February 2018, after taking into account listing and offering costs and pre-admission profits and loss. Monthly and cumulative performance figures are non-annualised and such results reflect the deductions of applicable management fees and expenses at the underlying investment levels.

(2) The Credit Suisse Levered Loan Index ("CSLLI") tracks the investable universe of the US dollar denominated leverage loan market. The ICE BofAML US High Yield Index ("ICE BofAML HYI") tracks the performance of US dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. The S&P 500 tracks the performance of US equity markets. Index returns do not reflect any deductions for fees, expenses or taxes. You cannot invest directly in an index.

NOTE: PAST PERFORMANCE IS NOT INDICATIVE OF, OR A GUARANTEE OF, FUTURE PERFORMANCE.

This release contains inside information.

Enquiries:

Marble Point Loan Financing Limited

Investor Relations

T: [phone]

E: [e-mail]

Website: www.mplflimited.com

Corporate Broker:

Stifel Nicolaus Europe Limited

Neil Winward, Corporate Broker - Investment Funds

T: [phone]

IMPORTANT INFORMATION

Marble Point Loan Financing Limited (the "Company") is a closed-ended investment company incorporated in Guernsey with its ordinary shares ("Shares") admitted to trading on the Specialist Fund Segment of the Main Market of the London Stock Exchange (ticker: MPLF.LN). The Company is invested in a diversified portfolio of US dollar denominated, broadly syndicated floating rate senior secured corporate loans via CLOs, loan accumulation facilities and other vehicles managed by Marble Point Credit Management LLC ("Marble Point") or its affiliates. Marble Point is an investment adviser registered with the U.S. Securities and Exchange Commission.

This document is provided for informational purposes only and does not constitute an offer to sell any Shares, notes or other securities (collectively, "Securities") issued by the Company or a solicitation of an offer to purchase any such Securities in the United States, Australia, Canada, the Republic of South Africa, Japan or any other jurisdiction. This document may not be relied upon, and should not be used, for the purpose of making any investment decision. This document and the information and views included herein do not constitute investment advice or a recommendation or an offer to enter into any transaction with the Company or any of its affiliates. Any recipient of this document should make such investigations as it deems necessary to arrive at an independent evaluation of any investment and should consult its own legal counsel and financial, actuarial, accounting, regulatory and tax advisers to evaluate any such investment. This document has been issued by the Company and is the sole responsibility of the Company.

The Securities have not been and will not be registered under the U.S. Securities Act of 1933, as amended, or with any securities regulatory authority of any state or other jurisdiction of the United States and may not be offered or sold in the United States to, or for the account or benefit of, U.S. persons unless they are registered under applicable law or exempt from registration. The Company has not been and will not be registered under the U.S. Investment Company Act of 1940, and investors will not be entitled to the benefits of such Act.

The information shown herein is estimated, unaudited, for background purposes only, representative as of the dates specified herein, subject to adjustment and not purported to be full or complete. Nothing herein shall be relied upon as a representation as to the current or future performance or portfolio holdings of the Company or any strategy or investment vehicle. Certain information presented herein has been obtained from third party sources and is believed to be reliable. However, neither the Company nor Marble Point represents that the information contained in this document (including third party information) has been independently verified or is accurate or complete, and it should not be relied upon as such. Index information, if any, has been provided for illustration purposes only. Any such information does not reflect the effect of transaction costs, management fees or other costs which would reduce returns. An investor cannot invest directly in an index.

Any of the views or opinions expressed herein are current views and opinions only and may be subject to change. Statements made herein are as of the date of this document and should not be relied upon as of any subsequent date. All information is current as of the date of this document and is subject to change without notice.

There is no guarantee that any of the goals, targets or objectives described in this document will be achieved. The investment strategies of the Company may not be suitable for all investors and are not intended to constitute a complete investment program. Neither Marble Point nor the Company makes any representation or warranty (express or implied) with respect to the information contained herein (including, without limitation, information obtained from third parties) and each of them expressly disclaims any and all liability based on or relating to the information contained in, or errors or omissions from, these materials; or based on or relating to the use of these materials; or any other written or oral communications transmitted to the recipient or any of its affiliates or representatives in the course of its evaluation of the information herein.

Past performance is not a reliable indicator of current of future results. The value of investments may go down as well as up and investors may not get back any of the amount invested. The value of investments designated in another currency may rise and fall due to exchange rate fluctuations in respect of the relevant currencies. Adverse movements in currency exchange rates can result in a decrease in return and a loss of capital.

A Note on Forward Looking Statements. This document includes forward-looking statements. Forward-looking statements include all matters that are not historical facts. Actual results may differ materially from any results projected in the forward-looking statements and are subject to risks and uncertainties. Such statements are based on current expectations, involve known and unknown risks, a reliance on third parties for information, and other factors that may cause actual results to differ materially from the anticipated results expressed or implied by such forward-looking statements. The Company and Marble Point caution readers not to place undue reliance on such statements. Neither the Company nor Marble Point undertakes, and each specifically disclaims, any obligation or responsibility, to update any forward-looking statements to reflect occurrences, developments, unanticipated events or circumstances after the date of such statement. Actual results may differ materially from the Company's and/or Marble Point's expectations and estimates.

None of the Company, Marble Point or any of their respective parent or subsidiary undertakings, or the subsidiary undertaking of any such parent undertakings, or any of such person's respective partners, shareholders, directors, members, officers, affiliates, agents, advisors or representatives shall have any liability whatsoever (in negligence or otherwise) for any loss howsoever arising from any information or opinions presented or contained in this document nor shall they accept any responsibility whatsoever for, or make any warranty, express or implied, as to the truth, fullness, accuracy or completeness of the information in this document (or whether any information has been omitted from the document) or any other information relating to the Company, Marble Point or their respective subsidiaries or associated companies, in any form whatsoever, howsoever transmitted or made available or for any loss howsoever arising from any use of this document or its contents or otherwise arising in connection therewith. This shall not affect any liability any such person may have which may not be excluded under applicable law or regulation.

This information is provided by RNS, the news service of the London Stock Exchange. RNS is approved by the Financial Conduct Authority to act as a Primary Information Provider in the United Kingdom. Terms and conditions relating to the use and distribution of this information may apply. For further information, please contact [e-mail] or visit www.rns.com.

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January 24, 2019 02:00 ET (07:00 GMT)