Blackstone Inc. · NYSE:BX
Blackstone — Blackstone / GSO Loan Financing — Q4 2019 Earnings Presentation
44 slides from Blackstone's earnings presentation, Dec 31, 2019
Slide 1: Blackstone / GSO Loan Financing Limited
Blackstone / GSO Loan Financing Limited As of 31 December 2019
Slide 2: BGLF Overview
BGLF Overview CAPITAL PARTNERS
Slide 3: Blackstone / GSO Loan Financing Limited (BGLF)
Blackstone / GSO Loan Financing Limited Blackstone / GSO Loan Financing Limited (“BGLF”) A finance company focused on senior secured corporate loans that seeks to provide shareholders with stable and growing income returns Strategy Overview BGLF € NAV Total Returns Exposure to European and U.S. fl
Slide 4: Investment Opportunity Overview
Blackstone / GSO Loan Financing Limited Investment Opportunity Overview Provides access to the market leading GSO loan and CLO management platform, including CLO warehouse investment opportunities(1) Benefits of GSO Cost effective levered exposure to senior secured loans through term financing o
Slide 5: Ways To Invest
Blackstone / GSO Loan Financing Limited Ways To Invest Public Shares Private Units Ticker / Share Class BGLF LN BGLP LN Class A Class C Fund Name Blackstone / GSO Loan Financing Ltd. Blackstone / GSO Corporate Funding EUR Fund Description Ordinary Shares QIAIF Units Fund Jurisdiction Jersey Ireland
Slide 6: BGCF Overview
BGCF Overview CAPITAL PARTNERS
Slide 7: Blackstone / GSO Corporate Funding 2019 Summary Performance
Blackstone / GSO Loan Financing Limited Blackstone / GSO Corporate Funding 2019 Summary Performance 15.3% 16.6% +€262M 2019 BGCF Change in Net Assets ROI(1) ROE(2) €1,140M BGCF Net Assets 1.93% 8.6x NIM(3) Debt-to-Equity(4) €441M €687M BGLF Net Assets BGCF EUR Net Assets Net Assets as of 31 December
Slide 8: Corporate Funding Corporate Structure
Blackstone / GSO Loan Financing Limited Blackstone / GSO Corporate Funding Corporate Structure Public Shareholders Private Unitholders (481m Shares) (€822m Committed Capital(1), 92% Third Parties (437m) €75m Undrawn Capital(1)) 8% Blackstone (43m) BGLF BGCF EUR €441.4m NAV €687.5m NAV 37.4% 62.6% BG
Slide 9: Fourth Quarter Results
Fourth Quarter Results CAPITAL PARTNERS
Slide 10: Fourth Quarter 2019 Results
Blackstone / GSO Loan Financing Limited Fourth Quarter 2019 Results BGLF LTM BGLF distribution yield of 12.1%, as of 31 December 2019(1) Earnings & BGLF’s net distributable earnings exceeded its dividends paid by 31% over the last Distributions twelve months, generating retained earnings of €0.0
Slide 11: BGLF Earnings & Distributions
Blackstone / GSO Loan Financing Limited BGLF Earnings & Distributions LTM BGLF distribution yield of 12.1%, as of 31 December 2019(1) BGLF’s net distributable earnings exceeded its dividends paid by 31% over the last twelve months, generating retained earnings of €0.031 per share in 2019 LTM Dis
Slide 12: BGCF Investment Activity
Blackstone / GSO Loan Financing Limited BGCF Investment Activity Focused on maintaining the overall quality of the portfolio, reducing risk and declining primary issues where we view documentation to be weak In the fourth quarter, €2.3 billion of assets purchased, €1.5 billion net portfolio inve
Slide 13: BGCF Portfolio Composition
Blackstone / GSO Loan Financing Limited BGCF Portfolio Composition Diversified portfolio invested across multiple sectors, geographies, and vintages Portfolio of 99.8% senior secured and 98.7% floating rate assets Country Allocations Moody’s Rating Distribution >Ba2 6.7% Others 2.8% WA Facility
Slide 14: BGCF Capitalisation
Blackstone / GSO Loan Financing Limited BGCF Capitalisation €50.1 million of capital called and invested (BGCF EUR), €5.1 million reinvested (BGLF) in Q4 ‘19, resulting in €55.2 million growth in BGCF’s equity balance Debt-to-Equity ratio of 8.6x through financing structures(1) Balance Sheet(1)
Slide 15: BGCF Interest & Margins
Blackstone / GSO Loan Financing Limited BGCF Interest & Margins Average WAC on global CLO and US CLO warehouses declined due to falling LIBOR Remaining CLO reinvestment period average of 2.6 years provide an opportunity to continue optimising the portfolio and improving weighted average spread (
Slide 16: Fund Overview
Fund Overview CAPITAL PARTNERS
Slide 17: Fourth Quarter Portfolio Activity
Blackstone / GSO Loan Financing Limited Fourth Quarter Portfolio Activity Portfolio trading activity during 4Q ‘19 continued to focus on maintaining the overall quality of the portfolio, trimming risk overweights in existing positions and primary issues where we view documentation to be weak • The
Slide 18: Fourth Quarter Portfolio Activity (cont'd)
Blackstone / GSO Loan Financing Limited Fourth Quarter Portfolio Activity (cont’d) Maintaining investment flexibility for to participate in the primary loan market and the ability to take advantage of secondary loan market dislocations is a key focus for BGCF’s adviser. As such, an important part
Slide 19: Summary of Investment Portfolio: BGCF Portfolio
Blackstone / GSO Loan Financing Limited Summary of Investment Portfolio: BGCF Portfolio Portfolio positioning between EUR and USD exposure remains largely unchanged versus 3Q ‘19 Remaining reinvestment periods decrease slightly since last quarter due to a measured investment pace, though vintage
Slide 20: Summary of Investment Portfolio: BGCF Look Through Portfolio Data
Blackstone / GSO Loan Financing Limited Summary of Investment Portfolio: BGCF Look Through Portfolio Data Q4 ‘18 Q1 ’19 Q2 ’19 Q3 ‘19 Q4 ‘19 # Issuers / Facilities 687 / 902 686 / 901 705 / 932 698 / 914 685 / 894 Total Gross Par Exposure (€mm) 15,676 16,556 17,129 17,769 18,181 WA Spread 3.48% 3.51
Slide 21: BGCF Look Through Portfolio Details
Blackstone / GSO Loan Financing Limited BGCF Look Through Portfolio Details Portfolio Total Par Moody’s Moody’s WA # WA WA All-In Par Outstanding Moody’s Industry Country Corporate Facility WA Price Maturity Facilities Spread Rate (€mm) (€mm) Rating Rating (Years) Issuer 1 6 200 5,679 Retail (Global
Slide 22: CLO Securitisations Detail
Blackstone / GSO Loan Financing Limited CLO Securitisations Detail CCC and defaulted asset balances are currently low within the portfolio Refinancing Highest of Defaulted / Reset Refinancing Remaining Deal Equity BGCF BGCF Investment Valuation as Annualised Cumulative Wt. Avg. Net NIM 3 Interest Ca
Slide 23: Securitisations Detail: 4Q '19 Activity
Blackstone / GSO Loan Financing Limited Securitisations Detail: 4Q ‘19 Activity Details Invested €45.8 million into Seapoint Park CLO and Holland Park CLO (EUR) and €37.7 million ($42.0 million) into Beechwood Park CLO (USD) Invested $45.0 million (net -$30 million after Beechwood CLO closed) in
Slide 24: Market and Portfolio Outlook
Blackstone / GSO Loan Financing Limited Market and Portfolio Outlook We predict loan spreads to tighten by 20bp in both the US and Europe in 2020 but expect this to be protracted across the year as opposed to a swift tightening • Higher quality assets produced the strongest gains in loans and high
Slide 25: Performance
Performance CAPITAL PARTNERS
Slide 26: 4Q '19 Return Analysis: Contributors to Total Return
Blackstone / GSO Loan Financing Limited 4Q ‘19 Return Analysis BGLF’s total net (NAV) return for 4Q ‘19 was 3.42% Contributors to Total Return Directly Held Loans EUR CLO Income Notes USD CLO Income Notes USD CLO BGCF Cash & Expenses BGLF 4.5% Warehouses 4.0% -0.65% 0.22% -0.15% 0.29% 0.29% -0.37% 3
Slide 27: 2019 Return Analysis: Contributors to Total Return
Blackstone / GSO Loan Financing Limited 2019 Return Analysis Stable-to-increasing net interest margin levels, combined with outperformance of assumed defaulted assets, has led to relatively strong performance year to date versus market indices Contributors to Total Return Directly Held Loans EUR CLO
Slide 28: BGLF Total Returns Since Inception
Blackstone / GSO Loan Financing Limited BGLF Total Returns Since Inception 50.6% NAV and 33.7% share price cumulative total return since inception versus 19.7% and 24.0% for European loans and US loans, respectively Annualised Net Total Return 20% 18% 19.0% 16% 14% 14.5% 12% 10% 8% 8.2% 7.8% 6% 7.4%
Slide 29: BGLF Monthly € NAV Total Return Performance
Blackstone / GSO Loan Financing Limited BGLF Monthly € NAV Total Return Performance 2019 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD BGLF € NAV 1.25% 1.90% 1.21% 1.26% 0.67% 1.59% 1.13% -0.19% 1.41% 0.78% 0.77% 1.83% 14.46% European Loans 1.15% 0.93% -0.07% 0.98% -0.04% 0.13% 0.44% 0.05% 0.5
Slide 30: CLO Securitisation Performance by Vintage
Blackstone / GSO Loan Financing Limited CLO Securitisation Performance by Vintage CLO securitisations continue to generate positive cashflow, with the weighted average annualised distribution rate increasing quarter over quarter WA Annualised Cash on Cash Distribution Rates European CLO Income Notes
Slide 31: Market Overview
Market Overview CAPITAL PARTNERS
Slide 32: US and European Loan Yields and Spreads Have Slightly Tightened in 4Q19
Blackstone / GSO Loan Financing Limited US and European Loan Yields and Spreads Have Slightly Tightened in 4Q19 Spread to Maturity Yield to Maturity L+600 E+600 9% L+550 E+550 8% L+500 E+500 7% L+450 E+450 6% 6.13% L+400 E+400 5% 4.02% L+350 E+350 4% L+300 E+300 3% 2016 2017 2018 2019 2016 2017 2018
Slide 33: Higher Quality Loans Have Outperformed Lower Quality Loans in 2019
Blackstone / GSO Loan Financing Limited Higher Quality Loans Have Outperformed Lower Quality Loans in 2019 After the 4Q ‘18 selloff, higher quality loans have rebounded faster than lower quality U.S. Loan Returns by Quality European Loan Returns by Quality (%) (%) 10% 6% 5.52% 9.01% 5.26% 8.38% 8% 4
Slide 34: Global Weighted Average Spread Has Remained Steady in Recent Periods
Blackstone / GSO Loan Financing Limited Global Weighted Average Spread Has Remained Steady in Recent Periods After recent tightening, the global CLO arbitrage has stabilised U.S. WA Spread and Cost of Capital European WA Spread and Cost of Capital (bps) (bps) (bps) (bps) 250 400 250 425 400 375 200
Slide 35: Global CLO Issuance
Blackstone / GSO Loan Financing Limited Global CLO Issuance Global CLO issuance lags slightly in 2019 after a record year of issuance in 2018 CLO New Issuance ($ in billions) 161 $160 152 143 142 $140 $120 114 $100 92 91 $80 $60 54 $40 $20 14 3 $- 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 US
Slide 36: Global Loan Defaults
Blackstone / GSO Loan Financing Limited Global Loan Defaults Current Global Loan Defaults Remain Below Historical Averages Trailing 12-month Issuer Default Rate (%) 10% GSO Forecasts 2020 9.3% US Loans 1.6%-2.0% 8% 7.7% European Loans 0.8%-1.0% 6.8% 6% 4.6% 4.1% 4% 3.4% 3.1% 3.3% 1.9% 1.8%1.7% 2% 1.
Slide 37: Additional Information
Additional Information CAPITAL PARTNERS
Slide 38: CLOs Are Securitisations Backed by a Diversified Pool of Senior Secured Loans
Blackstone / GSO Loan Financing Limited CLOs Are Securitisations Backed by a Diversified Pool of Senior Secured Loans A CLO is a special purpose company that issues Payments debt and equity and uses the proceeds to invest in a diversified portfolio of senior secured loans It distributes the cash
Slide 39: Important Disclosure Information
Important Disclosure Information
Slide 40: Important Disclosure Information
Blackstone / GSO Loan Financing Limited Important Disclosure Information BGLF has engaged Blackstone / GSO Debt Funds Management Europe Limited to produce this report and BGLF (including its directors) has not been involved in the production of the report or verified the accuracy of its contents and
Slide 41: Important Disclosure Information (cont'd)
Blackstone / GSO Loan Financing Limited Important Disclosure Information (cont’d) This Presentation does not constitute a financial promotion, investment advice or an inducement or incitement to participate in any product, offering, or investment. It does not constitute or form part of any offer to
Slide 42: Important Disclosure Information (cont'd)
Blackstone / GSO Loan Financing Limited Important Disclosure Information (cont’d) Denmark This document does not constitute a prospectus under any Danish law and has not been filed with or approved by the Danish Financial Supervisory Authority as this document has not been prepared in the context of
Slide 43: Important Disclosure Information (cont'd)
Blackstone / GSO Loan Financing Limited Important Disclosure Information (cont’d) Israel No action has been or will be taken in Israel that would permit a public offering of the Fund, or distribution of this document to the public in Israel. This document has not been approved by the Israel Securiti
Slide 44: Important Disclosure Information (cont'd)
Blackstone / GSO Loan Financing Limited Important Disclosure Information (cont’d) United Kingdom The Fund is an “AIF” as defined in regulation 3 of the United Kingdom’s Alternative Investment Fund Managers Regulations 2013 (the “AIFM Regulations”) and a collective investment scheme as defined in par
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