NB Global Floating Rate Income reports that for the six months ended 30 June 2016 its total return per share was 3.62% for the Sterling Ordinary Shares and 3.54% for the U.S. Dollar Ordinary Shares. During the same period the share price return was -0.76% per Sterling Ordinary Share and -1.08% per U.S. Dollar Share reflecting a widening of the discount from 2.63% per Sterling Ordinary Share and 2.66% per U.S. Dollar Share to 4.68% per Sterling Ordinary Share and 4.96% per U.S. Dollar Share. 93% of the portfolio is invested in the US. The U.S. loan market, as measured by the S&P/LSTA Leveraged Loan Index, gained 4.51% for the reporting period. In Europe, the loan market, as measured by the S&P European Leveraged Loan Index (“ELLI”), gained 1.89%.
The Board tries to maintain a maximum 3% discount for both share classes. In the six months to 30 June 2016, they repurchased 157.0 million Sterling Ordinary Shares at a total cost GBP140.0m and 3.3 million U.S. Dollar Shares at a total cost of $3.0m representing 13.1% and 6.2% of the share capital at the start of the period. Since the period end and up to the latest practicable date prior to publication of this report, NB Global Floating Rate Income has repurchased a further 15.8 million Sterling Ordinary Shares at GBP14.5m and 0.7 million U.S. Dollar Shares at $0.7m.
Looking at NB Global’s market, at the end of the six-month period, the U.S. trailing 12-month default rate was 1.97% and 2.22% by amount and issuer respectively. These defaults were concentrated in commodities with 9 out of the 15 filings year to date coming from these sectors. With regards to Europe, the default rates were 2.54% and 2.39% by amount and issuers, respectively. The largest component was the default of Solocal, a legacy Yellow Pages issuer that defaulted in June and accounted for 88bp of the amount. We aren’t told in the statement whether NB Global Floating Rate Income was exposed to any of these however.
NBLS / NBLU : NB Global underperforms US leveraged loan index, discount widens