Livermore Regulatory News (LIV)

9 April 2020

The information contained within this announcement is deemed by the Company to constitute inside information as stipulated under the Market Abuse Regulations (EU) No. 596/2014 ("MAR"). With the publication of this announcement via a Regulatory Information Service, this inside information is now considered to be in the public domain.

LIVERMORE INVESTMENTS GROUP LIMITED

("Livermore" or the "Company")

COVID-19 Update

Livermore today provides a statement on the impact of COVID-19.

The Company continues to monitor the COVID-19 pandemic situation closely, with a focus on the impact on the Company's CLO and US senior secured loan portfolios. The spread of the virus, government policy responses and changing demand patterns are expected to have a negative impact on the operations and earnings of some of the borrowers in the CLO portfolio. The Company has been in close contact with managers of its individual CLO positions and is tracking the level of rating downgrades of underlying loans to CCC+/Caa rating and a worsening default outlook. A significant concentration of CCC+/Caa rated loans can turn off the distributions to the equity and lower mezzanine tranches of CLOs and would result in significant drop in the market values of those CLO portfolio constituents. At this early stage it is not possible to quantify the impact, but further updates will be provided as more information becomes available. The full extent of the impact will depend on the length and severity of the crisis and is expected to vary widely between sectors and companies.

The Company has been positioned very conservatively for several months with high liquidity and cash reserves (in excess of USD 60m as of 31 March 2020) and a CLO portfolio that consists largely of CLOs with long reinvestment periods, which should benefit somewhat from the volatility in the market. The Company has no debt.

Looking forward, the Company believes it is very well positioned with its large cash reserves to capitalize on a recovery in trade in the CLO markets when there is more clarity on positive developments in the US economy and the US credit markets.

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