Marble Point Loan Financing Limited Net Asset Value and Publication of Monthly Report (0717H)

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RNS Number : 0717H

Marble Point Loan Financing Limited

20 March 2020

20 March 2020

MPLF announces NAV per share at 29 February 2020

The net asset value ("NAV") of Marble Point Loan Financing Limited ("MPLF") as at the close of business on 29 February 2020 is as follows:

 
 Share class     February 2020     January 2020 NAV     Monthly Change 
                NAV per Ordinary   per Ordinary Share     in NAV per 
                   Share (1)              (1)              Share (1) 
  Ordinary        USD 0.7104          USD 0.7644         USD (0.0541) 
    Shares 
              ------------------  -------------------  --------------- 
 

Performance

-- MPLF outperformed the S&P 500 for the third month in a row in February. MPLF's NAV total return was (7.07%) versus a total return for the index of (8.23%) during the month as concerns over the escalating coronavirus pandemic gripped global capital markets. Monthly total returns for the Credit Suisse Leveraged Loan Index (CSLLI) and the ICE BAML High Yield Index were (1.35%) and (1.55%) respectively .(2)

Market

-- The extent of the impact of coronavirus on the leveraged loan market remains to be seen. The decline in loan prices during the month was driven by a combination of fundamental concerns about certain industries, the impact on supply chains and the more general economic impact.

-- During February, the leveraged loan market declined 1.35% as measured by the CSLLI. The CSLLI was up until the last week of the month but fell back when all markets dropped in response to escalation in coronavirus concerns.

-- The average bid price of the CSLLI fell 1.56% during the month, with the majority of the decline also taking place in the last week of February. Selling pressure from retail loan accounts contributed to the price drop, with net retail fund outflows in February totaling $2.6 billion. This more than reversed the marginal inflows seen in January, which was the first monthly inflow since September 2018.

-- There were 16 new U.S. CLOs issued in February aggregating $9.4 billion and were mainly concentrated in the first half of the month as broader market volatility towards the end of February caused CLO liability levels to widen and halt new issuance. The month also saw $7.8 billion of CLO reset issuance and $11.7 billion of CLO refinancing activity.

-- MPLF had no exposure to any of the five constituents of the S&P/LSTA Leveraged Loan Index which defaulted in February: American Commercial Lines, RentPath, NPC International, Pier 1 Imports and Phillips Pet Food. The lagging 12-month default rate remained constant at 1.83% as other obligors rolled off the calculation.

-- Leveraged finance markets have continued to demonstrate volatility since month-end, with two interest rate cuts by the Federal Reserve impacting floating rate assets such as leveraged loans. All else equal, interest rate declines result in a rotation out of leveraged loans which puts pressure on the general level of loan prices. While the decline in loan prices typically has an impact on the valuations of CLO equity securities, CLO structures do not require the sale of assets and consequently, CLO cash flows are not typically impacted by falling loan prices.

-- Since the end of February, the average bid price of the CSLLI has declined by 6.15% to 88.92% (as at 13 March 2020) as coronavirus fears have further mounted. Loan prices have come under extended pressure with retail outflows and new issuance of CLOs on hold while investors assess the new landscape for CLOs.

Investment

   --      Marble Point CLO XVII 

o MPLF invested an incremental $8.0 million into a loan accumulation facility ("LAF") during the month with the intention of converting the LAF into Marble Point CLO XVII. Pricing of the new CLO occurred on 11 February, 2020, and its closing is currently scheduled for 24 March, 2020. MPLF committed to invest a total of $20.0 million for a 56.4% interest in the equity tranche of Marble Point CLO XVII. MPLF's total investment in the LAF stands at $13.5 million, as of 29 February, 2020. Supported by this and third party equity capital, the total amount of ramped assets in the LAF was $362.3 million as at 29 February, 2020.

o Marble Point CLO XVII is expected to have the following features:

-- A reinvestment period of approximately five years

-- A two year non-call period

-- A 13 year final maturity

-- A weighted average cost of debt of LIBOR+187 basis points

   --      An estimated effective yield of 12.0-14.0% as at the pricing date of the transaction(3) 
   MPLF's February 2020 Monthly Report is available on its website:   www.mplflimited.com 

Enquiries:

Marble Point Loan Financing Limited

Investor Relations

T: [phone]

   E:   [e-mail] 

Website: www.mplflimited.com

Corporate Broker :

Stifel Nicolaus Europe Limited

T: [phone]

Financial Public Relations :

Charlie Barker / Catherine Chapman

MHP Communications

T: [phone]

[e-mail]

About Marble Point Loan Financing

Marble Point Loan Financing Ltd. (LSE Ticker: MPLF LN (USD); MPLS LN (GBX)) is a Guernsey-domiciled closed-ended investment company. MPLF's investment objective is to generate stable current income and grow net asset value by earning a return on equity in excess of the amount distributed as dividends.

MPLF is invested in a diversified portfolio of US dollar denominated, broadly syndicated floating rate senior secured corporate loans owned via collateralised loan obligations ("CLOs") and related vehicles managed by Marble Point Credit Management LLC.

About Marble Point Credit Management LLC

Marble Point Credit Management LLC ("Marble Point") is a specialist asset manager focused exclusively on leveraged loans. Marble Point was founded by Thomas Shandell in partnership with Eagle Point Credit Management, a leading investor in CLO securities. As at 29 February, 2020, Marble Point manages approximately $5.3 billion of assets across CLOs and other managed accounts.

(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 as at the end of each month. 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 main market of the London Stock Exchange on 13 February 2018, after taking into account applicable 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 indices shown have not been selected to represent a benchmark for MPLF's performance, but rather to allow for comparison of MPLF's returns to those of known, recognized and/or similar indices. The Credit Suisse Leveraged Loan Index (CSLLI) tracks the investable universe of the U.S. leveraged loan market. The ICE BofAML US High Yield Index (ICE BAML HYI) tracks the performance of USD-denominated below investment grade corporate bonds publically issued in the U.S. domestic market. The Standard & Poor's 500 Index (S&P 500) tracks the performance of U.S. public equity markets and is based on the market capitalization of 500 large companies having common stock listed on NYSE or NASDAQ. The performance of any index is not an exact representation of any particular investment as you cannot invest directly in an index.

(3) Figures shown for effective yield and weighted average cost of debt are estimated, unaudited, subject to change and based on the analysis of Marble Point Credit Management LLC, the investment manager of MPLF, as at the Pricing Date. The estimated effective yield figure is provided for illustrative purposes only. The actual effective yield, as recorded by MPLF, MP CLOM or other entity holding the investment, may vary over time

Past performance is not indicative or a guarantee of future performance.

This release contains inside information.

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.

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.

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.

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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March 20, 2020 13:30 ET (17:30 GMT)