Marble Point Loan Financing Limited Net Asset Value and Publication of Monthly Report (8842W)

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RNS Number : 8842W

Marble Point Loan Financing Limited

24 August 2020

24 August 2020

MPLF announces NAV per share at 31 July 2020

The net asset value ("NAV") of Marble Point Loan Financing Limited ("MPLF") as at the close of business on 31 July 2020 is as follows:

 
 Share class   July 2020 NAV     June 2020 NAV      Monthly Change 
                per Ordinary   per Ordinary Share     in NAV per 
                 Share (1)            (1)              Share (1) 
  Ordinary      USD 0.5210        USD 0.5173          USD 0.0037 
    Shares 
              --------------  -------------------  --------------- 
 

Performance

-- MPLF's NAV total return was 4.58% in July, outperforming for the fourth consecutive month the total return of the Credit Suisse Leveraged Loan Index (CSLLI), which was 1.88%. July also represented the fourth consecutive month in which MPLF's NAV increased. During the month, the ICE BAML High Yield Index and S&P 500 posted returns of 4.78% and 5.64%, respectively.(2)

-- MPLF's July return reflected a continuation of the strong rebound of the leveraged loan market and its effect on the NAV of the Funding Subsidiary, through which MPLF owns loans directly, as well as the market values of MPLF's CLO equity investments. The rising leveraged loan market has stemmed from strong technical forces in which demand for loans from ramping CLO warehouses and the resulting new CLOs has been met with an anemic supply of new loans. Also contributing to July's return was the receipt of quarterly distributions on MPLF's CLO equity securities in excess of the changes in the values of those CLO equities.

-- None of the Marble Point CLOs in the MPLF portfolio were required to divert cash available for distribution to equity due to a failing junior overcollateralization ratio test in connection with the July payment dates.

-- The quarterly gross distributions received in July by MPLF from its CLO equity, CLO debt and Fee Participation investments totaled approximately $7.7 million, or 3.8 cents per share. This compared to $8.9 million or 4.3 cents per share in April.

o Distributions in July were adversely impacted by the timing of the 3-month LIBOR setting of CLO liabilities in April just prior to LIBOR's significant decline, as well as a timing difference in interest receipts stemming from a number of loan issuers opting to switch from 1-month to 3-month LIBOR contracts in order to defer the payment of interest and thereby preserve cash. According to Bank of America, the percentage of CLO collateral referencing 3-month LIBOR rose to 36% in July from 25% at the beginning of the year. Marble Point expects October distributions to benefit from a lower July reset of LIBOR on Marble Point CLO liabilities and the receipt of the interest from those borrowers who deferred cash interest payments by electing a longer LIBOR contract as mentioned above. Additionally, approximately 40.1% of the collateral held in Marble Point CLOs have a LIBOR floor of approximately 0.96%. These LIBOR floors increase the effective excess spread of CLO portfolios as CLO liabilities are pegged to lower rates.

-- As at 31 July 2020, the CLOs and Funding Subsidiary held none of the six index constituents that defaulted in July. The index's lagging 12-month default rate by notional amount increased to 3.90%, its highest level since February 2015.

Market

-- The loan market posted its fourth consecutive monthly gain following the onset of the market volatility in March 2020 with the CSLLI experiencing a 1.88% return on the heels of its 1.35% increase in June. The average bid price of the Index moved up to 91.04% at 31 July from 89.47% on 30 June. The weighted average market price of MPLF's loans increased to 93.01% at 31 July from 90.51% at 30 June.

-- As mentioned above, new CLO issuance remained strong in July while new issue loan volume was relatively light providing technical support for the ongoing loan price rally. There were 22 new U.S. CLOs priced in July aggregating $9.1 billion, the highest monthly figure since February 2020.

-- New institutional loan markets registered only $12.8 billion of total issuance in July, approximately half of the June 2020 figure according to S&P/LCD.

-- Retail fund outflows totaled approximately $1.6 billion in July as reported by J.P. Morgan. This remains a consistent dynamic in the market as retail funds have not registered a monthly inflow since September 2018.

-- Since the end of July, the average bid price of the CSLLI has increased by 1.04% to 92.08% (as at 19 August 2020) as broader financial markets continued to rally, new CLO issuance has supported demand and second quarter earnings for many loan issuers have exceeded expectations.

Dividend

-- As previously disclosed, on 23 July the Board of Directors announced the reinstatement of quarterly dividend payments and the declaration of a dividend in the amount of $0.02 per ordinary share.

-- All of the CLOs in which the Company has an investment made equity distributions in July 2020 and only one deal representing 0.34% of the MPLF CLO Equity investment portfolio by fair value was required to reinvest a portion of available cash due to a failing Interest Diversion Test. The amount of cash that otherwise would have been received by MPLF had cash not been diverted was nominal. As mentioned above the aggregate amount of quarterly distributions from the MPLF's investment assets totaled approximately 3.8 cents per share.

Investment

   --      New CLO Priced - Marble Point CLO XVIII 

o Subsequent to month end, on 12 August, MPLF committed to invest a total of $14.1 million for a 35.6% interest in the equity tranche of Marble Point CLO XVIII in connection with the pricing of Marble Point's most recent CLO issuance. Approximately $12.3 million of the proceeds for this investment will be generated from the sale of a substantial portion of the loans held by the Funding Subsidiary, less the repayment of its debt, to be contributed as equity in the new CLO. The loans will be sold to the new CLO at their fair value as of the CLO pricing date. Specifically, the fair value is determined to be the mid-price between the bid and the ask indications as provided by Markit, a nationally recognized pricing service used daily to mark the loans held in Marble Point CLOs. Such convention is a widely used market standard and has been agreed by the Board of MPLF.

o The investment manager believes the longer term financing, increased leverage and longer reinvestment period of the new CLO will allow for more flexibility in managing the loans to be sold by the Funding Subsidiary and is consistent with Marble Point's active management style and the long term investment objectives of MPLF.

   MPLF's July 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]

(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 is reduced by the amount of a dividend to the extent the ex-dividend date occurs during the period presented. 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.

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

This release contains inside information.

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 31 July, 2020, Marble Point manages approximately $5.3 billion of assets across CLOs and other managed accounts.

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.

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August 24, 2020 02:00 ET (06:00 GMT)