Blackstone Inc. · NYSE:BX
Blackstone — Blackstone / GSO Loan Financing — Q1 2020 Earnings Presentation
45 slides from Blackstone's earnings presentation, Mar 31, 2020
Slide 1: Blackstone / GSO Loan Financing Limited
Blackstone / GSO Loan Financing Limited As of 31 March 2020
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 a market leading 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 on bala
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: BGCF: First Quarter 2020 Summary Performance
Blackstone / GSO Loan Financing Limited Blackstone / GSO Corporate Funding: First Quarter 2020 Summary Performance -14.2% -13.9% -€146M 1Q ‘20 BGCF Change in Net Assets ROI(1) ROA(2) €994M BGCF Net Assets 1.86% 9.9x NIM(3) Debt-to-Equity(4) €368M €607M BGLF Net Assets BGCF EUR Net Assets Net Assets
Slide 8: BGCF: Corporate Structure
Blackstone / GSO Loan Financing Limited Blackstone / GSO Corporate Funding: Corporate Structure Public Shareholders Private Unitholders (481m Shares) (€822m Committed Capital, 92% Third Parties (437m) €25m Undrawn Capital) 8% Blackstone (43m) BGLF BGCF EUR €368.2m NAV €607.2m NAV 36.4% 63.6% BGCF €9
Slide 9: First Quarter 2020 Results
First Quarter 2020 Results CAPITAL PARTNERS
Slide 10: First Quarter 2020 Results
Blackstone / GSO Loan Financing Limited First Quarter 2020 Results BGLF Distribution yield of 12.4%, as of 31 March 2020(1) BGLF Earnings & BGLF’s net distributable earnings exceeded its declared dividends by 47% over the Distributions last twelve months, with any retained net earnings being ava
Slide 11: BGLF Earnings & Distributions
Blackstone / GSO Loan Financing Limited BGLF Earnings & Distributions BGLF Distribution yield of 12.4%, as of 31 March 2020(1) BGLF’s net distributable earnings exceeded its declared dividends by 47% over the last twelve months, with any retained net earnings being available for smoothing divide
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 first quarter, €3.4 billion of assets purchased, €1.5 billion net portfolio inves
Slide 13: BGCF Portfolio Composition
Blackstone / GSO Loan Financing Limited BGCF Portfolio Composition Diversified portfolio of 688 issuers invested across multiple sectors, geographies, and vintages Portfolio of 99.6% senior secured and 98.1% floating rate assets Country Allocations Moody’s Rating Distribution >Ba2 5.8% Others 2.
Slide 14: BGCF Capitalisation
Blackstone / GSO Loan Financing Limited BGCF Capitalisation €50.0 million of capital called and invested (BGCF EUR) in Q1 ’20, with €25.0 million of committed capital remaining(1) Debt-to-Equity ratio of 8.1x through financing structures(2) Balance Sheet(1) (€ in millions) Assets Liabilities Dir
Slide 15: BGCF Interest & Margins
Blackstone / GSO Loan Financing Limited BGCF Interest & Margins Average WAC on US CLOs and US CLO warehouses declined due to falling LIBOR Remaining CLO reinvestment period average of 2.5 years provide an opportunity to continue optimising the portfolio and to improve weighted average spread ("W
Slide 16: Fund Overview
Fund Overview CAPITAL PARTNERS
Slide 17: First Quarter 2020 Portfolio Activity
Blackstone / GSO Loan Financing Limited First Quarter 2020 Portfolio Activity Portfolio trading activity during 1Q ‘20 continued to focus on improving the rating profile and defensively positioning the portfolio by trimming risk overweights in existing positions • During the quarter, up until late
Slide 18: First Quarter 2020 Portfolio Activity (cont'd)
Blackstone / GSO Loan Financing Limited First Quarter 2020 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 p
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 4Q ‘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 Q1 '20 # Issuers / Facilities 687 / 902 686 / 901 705 / 932 698 / 914 685 / 894 688 / 908 Total Gross Par Exposure (€mm) 15,676 16,556 17,129 17,769 18,181 19,
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 Coupon WA # WA Par Outstanding Moody’s Industry Country Corporate Facility WA Price (All-In Maturity Facilities Spread (€mm) (€mm) Rating Rating Rate) (Years) Issuer 1 2 232 8,255 Servi
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 Refinancing Remaining Equity BGCF BGCF Investment Valuation as Annualised Cumulative Wt. Avg. Net NIM 3 Interest Highest of Caa Defaulted Investing C
Slide 23: Securitisations Detail: 1Q '20 Activity
Blackstone / GSO Loan Financing Limited Securitisations Detail: 1Q ‘20 Activity Details Invested €23.5 million ($26.2 million) into Allegany Park CLO (USD) and €22.8 million into Vesey Park CLO(1) Invested $29.7 million (net -$8.7 million after Allegany CLO closed) into an existing USD CLO wareh
Slide 24: Market and Portfolio Outlook
Blackstone / GSO Loan Financing Limited Market and Portfolio Outlook New issue markets shutdown in March as the impact of COVID-19 spread across the globe. As the investment grade and high yield market records signs of green shoots, primary issuance in the loan market should follow • Subsequently,
Slide 25: Performance
Performance CAPITAL PARTNERS
Slide 26: 1Q '20 Return Analysis
Blackstone / GSO Loan Financing Limited 1Q ’20 Return Analysis BGLF’s total net (NAV) return for 1Q ’20 was -14.27% Contributors to Total Return Directly Held Loans EUR CLO Income Notes USD CLO Income Notes USD CLO BGCF Cash & Expenses BGLF 2.0% Warehouses 0.36% -0.12% 0.0% -2.0% -4.55-4.55% -4.31%
Slide 27: BGLF Total Returns Since Inception
Blackstone / GSO Loan Financing Limited BGLF Total Returns Since Inception 29.1% NAV and -16.3% share price cumulative total return since inception versus 7.7% and 2.9% for European loans and US loans, respectively Annualised Net Total Return 5% 1.9% 4.6% 0.5% 1.3% 0% -2.5% -0.7% -3.1% -5% -6.0% -9.
Slide 28: BGLF Monthly € NAV Total Return Performance
Blackstone / GSO Loan Financing Limited BGLF Monthly € NAV Total Return Performance 2020 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD BGLF € NAV 0.61% -1.10% -13.84% -14.27% European Loans 0.51% -1.03% -13.57% -14.03% U.S. Loans 0.53% -1.35% -12.46% -13.19% 2019 Jan Feb Mar Apr May Jun Jul Au
Slide 29: 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 30: Market Overview
Market Overview CAPITAL PARTNERS
Slide 31: US and European Loan Yields and Spreads Widened Significantly in 1Q20
Blackstone / GSO Loan Financing Limited US and European Loan Yields and Spreads Widened Significantly in 1Q20 Spread to Maturity Yield to Maturity (L+ / E+) 1000 11% 10.09% 900 E+881 L+818 9% 800 8.39% 700 7% 600 500 5% 400 300 3% Mar-17 Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Mar-20 Mar-17 Sep-17 Mar-18
Slide 32: Higher Quality Loans Outperformed Lower Quality Loans in the Recent Selloff
Blackstone / GSO Loan Financing Limited Higher Quality Loans Outperformed Lower Quality Loans in the Recent Selloff Loan performance experienced a dispersion by rating that favored higher-quality loans during 1Q 2020 U.S. Loan Returns by Quality European Loan Returns by Quality (%) (%) 10% 10% 5% 5%
Slide 33: Global CLO Arbitrage Showed Signs of Improving Before COVID-19
Blackstone / GSO Loan Financing Limited Global CLO Arbitrage Showed Signs of Improving Before COVID-19 Both global CLO and loan issuance ground to a halt in mid-March with no primary activity since 12th March U.S. WA Spread and Cost of Capital European WA Spread and Cost of Capital (bps) (bps) (bps)
Slide 34: Global CLO Issuance
Blackstone / GSO Loan Financing Limited Global CLO Issuance Global CLO issuance lagged the prior quarter by 35%, with quarterly issuance totaling $23.8 billion in 1Q 2020 versus $36.7 billion in 4Q 2019 CLO New Issuance ($ in billions) 161 $160 152 143 142 $140 $120 114 $100 92 91 $80 $60 54 $40 25
Slide 35: Global Loan Defaults
Blackstone / GSO Loan Financing Limited Global Loan Defaults Despite the quarter-over-quarter increase, current global loan defaults remain below historical averages Trailing 12-month Issuer Default Rate (%) 10% 9.3% 8% 7.7% 6.8% 6% 4.6% 4.1% 4% 3.4% 3.1% 3.3% 1.9% 1.8%1.7% 2.1% 2% 1.4% 1.5% 1.6% 1.
Slide 36: Additional Information
Additional Information CAPITAL PARTNERS
Slide 37: 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 38: How Do Loan Downgrades Affect CLOs?
Blackstone / GSO Loan Financing Limited How Do Loan Downgrades Affect CLOs? CLO Coverage Tests Notable Haircuts to OC and ID Tests Overcollateralisation Test (“OC Test”) CCC exposure > 7.5% (market value; example below) A ratio of asset par (with haircuts) divided by liability balances Default
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) 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
Slide 43: 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 44: Important Disclosure Information (cont'd)
Blackstone / GSO Loan Financing Limited Important Disclosure Information (cont’d) Australia The provision of this document to any person does not constitute an offer of securities or financial products of any kind to that person or an invitation to that person to apply for securities or financial pr
Slide 45: 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
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