Net Asset Values & Publication of Monthly Report

27 April 2020

MPLF announces NAV per share at 31 March 2020

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

Performance

·      MPLF's NAV total return was (45.00%) in March.  Monthly total returns for the Credit Suisse Leveraged Loan Index (CSLLI), ICE BAML High Yield Index and S&P 500 were (12.46%), (11.76%) and (12.35%) respectively. ⁽²⁾ 

·      MPLF had no exposure to Foresight Energy, the lone constituent of the S&P/LSTA Leveraged Loan Index to default in March. The lagging 12-month default rate increased slightly to 1.84% as obligors rolled off the calculation. 

·      As of the date of this publication, none of the Marble Point CLOs were required to divert cash available for distribution to equity due to a failing junior overcollateralization ratio test in connection with the April payment dates.

Market

·      The full extent of the impact of COVID-19 on the leveraged loan market and financial markets in general remains to be seen, however loan prices declined significantly in March as the impact of unprecedented economic disruption since the onset of the pandemic continued to be felt.  During March, the 12.46% decline in the leveraged loan market as measured by the CSLLI represented the second largest monthly drop in its history after March 2009. The swift and sudden demand shock caused by the global measures undertaken to stem the spread of the Coronavirus has had a dramatic impact on the economy and the prices of risk assets.

·      Significant selling pressure from retail loan funds also contributed a technical element to the price decline, with net retail loan fund outflows in March totaling approximately $13.4 billion according to J.P. Morgan. This is the largest retail monthly outflow since December 2018 and the second largest on record.

·      The valuations of CLO equity securities in March declined significantly in line with the decline in underlying loan prices.  The pace of downgrades of CLOs' underlying senior secured loan collateral by the rating agencies accelerated throughout the month. CLO research indicates that such downgrades resulted in a majority of CLOs exceeding their limits on the percentage of loans rated CCC or lower by S&P and/or Caa or lower by Moody's. Such Excess CCC/Caa positions increase the risk of triggering certain CLO tests which can reduce near-term cash distributions, putting further downward pressure on CLO equity prices. Additionally, the heightened risk of higher default rates may further erode CLO collateral value.  While the Marble Point CLOs have not been immune from the impact of ratings downgrades on Excess CCC/Caa amounts, none of the Marble Point CLOs were required to divert cash available for distribution to equity due to a failing junior overcollateralization ratio test in connection with the April payment dates. Nonetheless, the continued accelerated pace of rating agency downgrades and the potential for an increase in defaults led to the decision subsequent to month end by the Board of Directors to announce a suspension of dividend declarations. 

·      There were 8 new U.S. CLOs issued in March aggregating $3.4 billion, concentrated in the first half of the month as broader market volatility towards the end of March caused CLO liability levels to widen and interrupted new issuance. There was $0.3 billion of CLO refinancing activity and no CLO reset activity in March.

·      Since the end of March, the average bid price of the CSLLI has recovered by 2.94% to 85.64% (as at 24 April 2020) as broader markets have responded positively to the prospect of support from Unites States Government programs to support various asset classes through the crisis and the hope for a potential reopening of the economy in the near future.

Dividend

·      As announced on 8 April 2020, given the ongoing uncertainty caused by the COVID-19 pandemic and resultant impact to the market as detailed above, the Company announced a suspension of dividend declarations. 

·      The Company remains focused on delivering long term value to shareholders and believes such action is consistent with taking prudent actions in the near term in respect of this quickly changing market dynamic.  While it is difficult to predict the full impact of the COVID-19 pandemic on loan and CLO markets, the Investment Manager believes the dislocation in credit markets presents investment opportunities potentially beneficial to future investment portfolio cash distributions consistent with the goal of seeking to maximise shareholders' total return over the long term. The weighted average remaining reinvestment period of the Company's CLOs is approximately 3.3 years, providing runway for the Investment Manager to redeploy asset paydowns and sale proceeds into fresh collateral with locked in term financing.

Investment

·      Marble Point CLO XVII

o  On 24 March MPLF completed its previously announced investment of $20.0 million for a 56.4% interest in the equity tranche of Marble Point CLO XVII. The effective yield of MPLF's investment in Marble Point CLO XVII was estimated at closing to be approximately 12.0-14.0%.  In connection with the closing of the transaction, MPLF's investment in the related Loan Accumulation Facility ("LAF") was redeemed and MPLF realized the associated carry of approximately $0.68 million on its total LAF investment of $14.5 million.⁽³⁾ 

o  To bridge the timing of cash flows between the 24 March closing date of Marble Point CLO XVII and the receipt of equity distributions on the company's investments in April, MPLF borrowed $4.0 million on its revolving credit facility in order to fund the aggregate ~20.0mm investment in the equity tranche.  Subsequent to 31 March, this borrowing has been fully repaid.

MPLF's March 2020 Monthly Report is available on its website: www.mplflimited.com 

Enquiries:

Marble Point Loan Financing Limited

Investor Relations

T:  +44 (0) 20 7259 1500

E:  ir@mplflimited.com 

Website: www.mplflimited.com 

Corporate Broker:

Stifel Nicolaus Europe Limited

T:  +44 (0) 20 7710 7600

Financial Public Relations:

Charlie Barker / Catherine Chapman

MHP Communications

T:  +44 (0) 20 3128 8100

MarblePoint@mhpc.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 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 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 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.

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 March, 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.