Net Asset Value & Publication of Monthly Report

Marble Point Loan Financing Limited

21 May 2024

 

21 May 2024

The net asset value ("NAV") of Marble Point Loan Financing Limited ("MPLF") as at the close of business on 30 April 2024 is as follows:

Share class	April 2024 NAV per Ordinary Share (1)	March 2024 NAV per Ordinary Share (1)	Monthly Change in NAV per Share (1)
Ordinary Shares	USD 0.5305	USD 0.5410	USD (0.0105)

Performance

·      MPLF's ordinary share estimated NAV total return was 2.31% in April, compared to the total return of the Credit Suisse Leveraged Loan Index ("CSLLI") of 0.68%.

·      Secondary loan prices remained elevated throughout April despite a bout of macro volatility as strong CLO creation and limited new issue loan issuance stay a consistent theme in the market.  Loan spreads across the market also continued to compress amidst heavy repricing amendment activity in favorable market conditions.

·      Quarterly distributions received by MPLF from its portfolio holdings totaled approximately $8.9 million in Q2 compared to $10.1 million in Q1. Most reinvesting CLOs saw distributions remain in line with January figures while post-reinvestment period deals' distributions declined as the financing amortized.   Several post-reinvestment period deals also experienced cash flow diversion due to failing coverage tests which adversely impacted headline distributions.  MPLF's portfolio distributions continue to exceed and support dividend and liquidating share class distributions.  Discount rates for longer duration CLO equity profiles have compressed, generating positive monthly returns after accounting for the April distributions.

·      As at 30 April 2024 MPLF had no exposure to ConvergeOne, the sole constituent of the Morningstar/LSTA Index to default during the month.  The index's lagging 12-month default rate by notional amount increased to 1.31% as at 30 April.  Despite this low headline rate the number of distressed exchange transactions has continued to increase as companies and sponsors have worked towards alternative solutions with lender groups outside of typical default dynamics.  The trailing 12 months percentage of distressed exchanges increased to 4.33% at 30 April from 3.84% at the end of 2023.

Market

·      The CSLLI delivered a 0.68% total return in April as loan prices held strong amidst a supportive technical, and floating rate coupons provided a strong current interest return.  While equity markets experienced volatility in the wake of persistent inflation data and statements from the Federal Reserve that pushed out the timeframe for potential rate cuts, prices of floating rate loan assets remained firm.

·      Headline primary loan issuance was nearly unchanged from March at ~$41.2 billion yet remains mostly characterized by refinancing transactions.  In addition, loan repricing amendments totaled $32.2 billion in April bringing YTD repricing volumes to $192.5 billion, representing repricing activity on approximately 14% of the loan index.  Despite the heavy repricing activity the percentage of loans bid above par increased during the month from 38.7% at 31 March to 49.9% at 30 April, auguring a sustained wave of refinancing and repricing transactions.  The significant repricing and refinancing volumes have continued to pressure loan spreads as the average nominal spread of the Morningstar/LCD loan index declined an additional 2 basis points during the month.  The average indicative bid price of the Morningstar/LCD loan index declined to 96.64% at 30 April from 96.73% at 31 March while the weighted average indicative bid price of MPLF's underlying loans increased to 96.69% at 30 April from 96.52% at 31 March. 

·      April CLO issuance totaled $17.4 billion across 36 new issue CLOs, continuing to provide a strong base of demand for loans.  CLO liability levels also compressed during April with the tightest new issue AAAs pricing at S+145 compared to S+150 in March.  This has provided a reasonable template for issuance despite more expensive asset prices.  In addition to the new issue CLO volumes, CLO refinancing and reset markets remained open with tighter liabilities.    CLO reset and refinancing volume in April were $14.5 billion and $5.2 billion respectively, the highest combined monthly reset and refinancing volumes year to date. 

·      Retail loan funds experienced an inflow of approximately $2.6 billion in April according to J.P. Morgan.  This is the highest monthly inflow total since April 2022 and demonstrates retail funds have continued to attract investors with high current yields.

·      Since the end of April the average indicative bid price of the CSLLI has increased by 0.27% to 96.18% (as at 16 May 2024). 

Investment

·      On 19 April Investcorp closed the refinancing of several classes of debt in the Marble Point CLO XIX transaction, in which MPLF holds $14.3 million notional of the equity tranche.  The refinancing reduced the AAA floating spread from S+170 to S+140, and the CLOs weighted average cost of debt from S+223 to S+198.

MPLF's April 2024 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]

 ⁽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⁾Figures shown for effective yield 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 Closing Date.  The estimated effective yield is provided for illustrative purposes only.  The actual effective yield, as recorded by MPLF 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.

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 is 100% owned by Investcorp International Holdings Inc. ("IIHI"), which is part of the Investcorp Group of companies. The Investcorp Group effectively operates as a management-controlled group, substantially all whose assets and operations are owned and controlled by Investcorp S.A., a company domiciled in the Cayman Islands.   Investcorp Holdings B.S.C. ("Investcorp") a Bahrain based holding company is the parent company of Investcorp S.A. ("S.A."). Certain of the Investcorp Group's directors and senior executive officers have the ability to indirectly control Investcorp S.A.

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 the Use of Indices as Benchmarks. 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.

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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