Net Asset Value & Publication of Monthly Report

Marble Point Loan Financing Limited

29 January 2024

 

29 January 2024

The net asset value ("NAV") of Marble Point Loan Financing Limited ("MPLF") as at the close of business on 31 December 2023 is as follows:

Share class	December 2023 NAV per Ordinary Share (1)	November 2023 NAV per Ordinary Share (1)	Monthly Change in NAV per Share (1)
Ordinary Shares	USD 0.5421	USD 0.5280	USD 0.0141

PERFORMANCE

·      MPLF's ordinary share estimated NAV total return was 2.68% in December, compared to the total return of the Credit Suisse Leveraged Loan Index ("CSLLI") of 1.61%.

·      Secondary loan prices advanced throughout December as a more benign economic consensus heading into 2024 coupled with limited new loan supply boosted prices to year-to-date highs at 31 December.  CLO equity valuations generally increased during the month in parallel with underlying loan price movements and the broader equity market rally into year end.

·      As at 31 December 2023 MPLF had no exposure to Heubach Group, the one index constituent to default during the month.  The index's lagging 12-month default rate by notional amount increased to 1.53% as at 31 December. Notably, this is below the long term historical average of approximately 2.0%, and lower than many market expectations at the beginning of the year.   Despite this better than feared default experience for 2023, we expect defaults to increase in coming quarters as the impact of higher rates on leveraged business models works through the system, and tail metrics in loan portfolios remain elevated.

MARKET

·      The CSLLI delivered a 1.61% return in December as risk assets rallied with a view that the Federal Reserve has ended its interest rate hiking campaign and would be able to engineer a "soft landing" for the economy. In addition, technical support from consistent CLO ramping and weak primary loan issuance drove the market to annual highs at the end the year. The average indicative bid price of the CSLLI increased to 95.23% at 31 December from 94.52% at 30 November while the weighted average indicative bid price of MPLF's underlying loans increased to 95.37% at 31 December from 94.48% at 30 November.  For context, the average price of the CSLLI started the year at 91.89%. Due to the floating rate nature of loans in a consistently rising rate environment during 2023, the 2023 total return of the CSLLI exceeded 13.0%, the highest annual return for the index post the Great Financial Crisis.

·      December CLO issuance totaled $4.9 billion across 11 new issue CLOs.  For the year issuance totaled approximately $116 billion, which represents a slight decline from 2022 total volumes, yet is still indicative of consistent institutional demand for CLO securities and resulting demand for the loan market.  Several managers also increased their purchasing of assets in warehouse facilities in December in preparation for January transactions.

·      Institutional loan volume totaled $8.4 billion in December according to Pitchbook/LCD, the lowest monthly total of the year.  2023 primary loan volumes were the lowest since 2010, with the majority of issuance reflecting refinancing transactions as opposed to organic new issuance.  While loan repayments in 2023 were slightly below historical averages, the total size of the Morningstar LSTA Loan Index shrank during 2023, compared to an average annual growth rate of 7.5% post GFC.

·      Retail loan funds experienced an outflow of approximately $0.1 billion in December according to J.P. Morgan.  Retail fund flows have generally traced broader market sentiment in recent quarters and turned positive in the back half of the year after significant outflows earlier in the year.  Retail funds saw net outflows of $18.7 billion in the first half of the year, followed by inflows of $1.4 billion in the second half.

·      Since the end of December the average indicative bid price of the CSLLI has increased by 0.27% to 95.59% (as at 25 January 2024). 

INVESTMENT

·      As previously reported, on 21 December Investcorp priced Harvest US CLO 2023-1 ("HARUS231") a $400 million CLO, at which time MPLF committed to invest $6.2 million for a 17.1% interest in the equity tranche of the deal.  The closing of HARUS231 is expected to occur on 1 February 2023.

·      HARUS231 has the following features:

o  A reinvestment period of approximately five years

o  A two year non-call period

o  A 13 year final maturity

o  An estimated effective yield of 12.0-14.0% as at the pricing date of the transaction

MPLF's December 2023 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.

 

END