23 May 2011 10:00
23 May 2011
Greenwich Loan Income Fund Limited
NAV Update for the quarter ended 31 March 2011
Greenwich Loan Income Fund Limited ("GLIF" or "the Company") announces that as at 31 March 2011, its unaudited net asset value (NAV) per share was 70.3p. This compares to the final reported NAV of 79.2p per share as at 31 December 2010.
The weighted average market bid for the Company's investment portfolio at the quarter end was 95.5% of par, and for the liabilities, 85.2%. This compares to last quarter's figures of 93.4% of par and 82.2% respectively. The change in NAV resulted from the issuance of shares below NAV per share in connection with the acquisition of AMIC PLC, as well as the somewhat larger upward movement in the fair value of liabilities compared to portfolio assets. There was also a slight offset to these factors resulting from the modest strengthening of the GBP against the US dollar from year-end to 31 March.
As previously described to shareholders, under International Financial Reporting Standards (IFRS), the consolidated results of operations for the Company include the impact of carrying its investments and its liabilities at fair value. Shareholders should be aware that the Company's realisation of the full NAV is unlikely. The NAV, as calculated in accordance with IFRS, reflects the theoretical fair value of the liabilities of the CLO but, because the market is rather illiquid, it may be difficult for the Company to acquire any or a significant portion of those liabilities.
It should also be noted, as announced on 27 April 2011, that the Company is reviewing its exposure to T2 CLO I Ltd ("the CLO"), and were the CLO to no longer be consolidated in the future, the Company would carry its interest in CLO paper at fair value as determined by the Board of Directors. The Company expects that the resultant carrying value would be less than the proportionate share of NAV represented by the retained CLO interest as currently calculated under IFRS because it would no longer reflect the marking to market of liabilities below par. As a result, the net asset value determined post-deconsolidation of the CLO should be more comparable to other listed loan-focused investment companies.
The other two values customarily calculated to provide further clarity as to the dynamics within the value of the business are as follows:
- the value based upon assets at market value and liabilities at par was 50.2p per share as at 31 March 2011, compared to 45.4p per share as at 31 December 2010.
- the value based upon CLO assets as calculated for interest diversion purposes, remaining assets at market, and liabilities at par was 54.0p per share as at 31 March 2011, compared to 52.8p as at 31 December 2010.
The portfolio statistics on the Company's website (www.glifund.com) have been updated to include the most recent quarter. The CLO portfolio continues to increase in credit quality (as measured by the weighted average rating test) over the past year, whilst the weighted average spread (not taking into account LIBOR floors) has also increased. One major trend within the portfolio has been the increasing level of prepayments, averaging approximately 10% per quarter for the past year. During this period, the Company's investment manager has been able to deploy the capital successfully and in a manner consistent with the Company's investment objectives.
Contacts:
Geoffrey Miller
Greenwich Loan Income Fund Limited
+353 1 4433 466
Patrick Conroy
Greenwich Loan Income Fund Limited
+1 203 983 5282
Philip Secrett
Nominated Adviser
Grant Thornton Corporate Finance
+44 207 383 5100
James Maxwell
Singer Capital Markets Limited
+44 (0) 20 3205 7622
Ed Gascoigne Pees
Financial Dynamics
+44 (0) 207 269 7132