Net Asset Values & Publication of Monthly Report

29 May 2020

MPLF announces NAV per share at 30 April 2020

The net asset value ("NAV") of Marble Point Loan Financing Limited ("MPLF") as at the close of business on 30 April 2020 is as follows:

Performance

· MPLF's NAV total return was 10.63% in April. Monthly total returns for the Credit Suisse Leveraged Loan Index (CSLLI), ICE BAML High Yield Index and S&P 500 were 4.29%, 3.80% and 12.82% respectively.(2)

· MPLF's NAV return benefited from a rebound in leveraged loan prices and the resulting positive impact on the NAV of the Funding Subsidiary, as well as a net gain on CLO equity securities which moved up in concert with the underlying loan market. The NAV return also reflected the receipt of quarterly distributions on MPLF's CLO investments.

· 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. This was achieved despite an accelerating pace of loan downgrades during March and the first half of April and a corresponding erosion of overcollateralization ratio cushions.

· The quarterly gross distributions received by MPLF from its CLO equity, CLO debt and Fee Participation investments in April totaled approximately $8.9 million, or 4.3 cents per share.

· As at 30 April 2020, the CLOs and Funding Subsidiary in which MPLF is invested held only one issuer out of the eleven index constituents that defaulted in April - Speedcast International - with a 0.48% exposure. In total, eleven constituents of the S&P/LSTA Leveraged Loan Index defaulted in April, as the lagging 12-month default rate increased to 2.32%, the highest level since April 2018. This was driven by the impact of economic shutdown related to the COVID-19 pandemic on companies that have issued leveraged loans.

Market

· Loan prices rebounded in April, with the CSLLI experiencing a 4.29% return, following its 12.46% decline in March (the second largest monthly drop in its history). The average bid price of the Index moved up to 85.69% at 30 April from 82.70% on 31 March.

· This reflected investors' hopes that the combination of significant monetary and fiscal policy measures would provide support to companies affected by the severe economic slowdown resulting from the global measures to stem the spread of COVID-19.

· Easing technical pressures from retail fund outflows, demand from a renewal of CLO issuance and a dearth of new loan issuance also contributed to the rebound. Retail fund outflows continued, yet only totaled approximately $3.2 billion in April compared to $13.4 billion in March as reported by J.P. Morgan. With sustained retail fund outflows since December 2018, these funds now only represent approximately 9% of the loan market according to S&P/LCD, which mitigates the influence these funds have on broader market dynamics. New institutional loan markets also opened back up in April to register $9.0 billion of volume after zero issuance in March according to S&P/LCD.

· On the demand side of the loan market, there were 10 new U.S. CLOs issued in April aggregating $3.9 billion as the loan securitization markets thawed slightly. While a portion of this issuance may represent a securitization of loans accumulated prior to the selloff in March, there is generally an un-ramped portion associated with each CLO portfolio that represents dry powder to purchase loans principally in the secondary market.

· Since the end of April, the average bid price of the CSLLI has increased by 1.31% to 87.00% (as at 21 May 2020) as broader markets have responded positively to the prospect of potential reopening of the economy in the near future.

· However, as discussed in prior monthly commentary, the full extent of the impact of COVID-19 on the leveraged loan market and financial markets in general remains to be seen. The forces impacting CLO equity valuations, such as (a) the pace of rating agency downgrades, which has increased the level of Caa/CCC rated assets held by the CLOs in which MPLF is invested, (b) heightened default expectations and (c) the risk of triggering certain CLO tests remain a challenge and represent a potential headwind with respect to equity prices and distributions. Marble Point continues to actively manage MPLF's underlying CLO portfolio to assess and navigate these market challenges, consistent with the goal of seeking to maximise shareholders' total return over the long term.

Dividend

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

· As described above, the uncertainty associated with the global pandemic continues to impact the fund and its investment assets. Consequently, the Board will monitor the development of these factors and consider appropriate and prudent actions regarding future dividend payments to MPLF's shareholders in concert with the goal of seeking to maximize shareholders' total returns over the long term.

MPLF's April 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: [email protected] 

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

[email protected]

(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.

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.