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19^th January 2023

NB Global Monthly Income Fund

Monthly Commentary & Portfolio Update

30^th December 2022

Key statistics

Asset allocation:

Credit rating breakdown: as at 30^th December (excluding cash), the portfolio was invested primarily in B (48.11%), BB (12.21%) and CCC (33.81%) rated investments^.

Market Update

December was a mixed month for non-investment grade credit markets while the fourth quarter was generally positive. The global high yield bond market gave back some of the rally from the first two months of the quarter as returns ended the month in negative territory. The risk-off sentiment for high yield in the latter part of December was driven by hawkish comments from the Federal Reserve ("Fed") and the European Central Bank, weaker global economic data and Bank of Japan's surprise monetary policy normalization. However, the overall loan market strung together a third consecutive month of positive returns closing out the fourth quarter solidly up in what was a volatile year. The risk-on sentiment for loans late in 2022 was driven by solid fundamentals, attractive valuations, easing investor concerns over inflation but with the expectation that interest rates are likely still headed higher. 10-Year Treasury yields ended the month at 3.88%, rising 20 basis points since the end of November and 225 basis points since the start of 2022. Weighted average bid prices on the U.S. loan market rose to $92.44 by the end of the year, up 52 basis points compared to the end of the third quarter and down 620 basis points since the start of 2022. The path of average bid prices for loans in Europe broke the downward trend since the summer peak of €93.68. European bid prices ended the quarter higher closing at €91.34 compared to the end of the third quarter where the bid was €89.55. Importantly, issuer fundamentals of free cash flow, interest coverage and leverage have remained in relatively favourable ranges with the default outlook for 2023 still below the long-term average.

In the month of December, U.S. senior floating rate loans-measured by the Morningstar LSTA U.S. Leveraged Loan Index (the "LLI")-returned 0.44% with the highest rated credit tier outperforming as the BB, B and CCC rated segments of the index returned 0.84%, 0.40% and -0.83%, respectively. In the fourth quarter, the LLI returned 2.74% with the lowest rated loans underperforming as the BB, B and CCC returned 3.93%, 2.80% and -2.05%, respectively. Year to date, the LLI returned -0.60% with lower rated loans underperforming as the BB, B and CCC returned 2.99%, -1.07% and -12.00%, respectively. The Leveraged Loans 100 ("LL100"), a measure of the largest, most liquid issuers, returned 0.54% in the month, 3.82% in the fourth quarter and -0.60% year to date. The Morningstar European Leveraged Loan Index (the "ELLI") returned 0.30% in December, 3.51% in the fourth quarter and -3.06% year to date, excluding currency effects. The second lien loan index returned -0.99% in the month, -2.10% in the fourth quarter and -9.17% year to date. Notwithstanding the macro volatility, the loan market has been relatively resilient compared to other asset classes over the month, quarter and year to date periods.

The ICE BofA Global High Yield Constrained Index finished the month of December with a return of -0.05%, 5.18% in the fourth quarter and -11.38% for 2022 (Hedged USD). In December, returns across credit ratings were mixed with the BB, B, CCC & lower categories of the ICE BofA Global High Yield Index returning 0.16%, -0.53%, and 0.20%, respectively. The fourth quarter saw the best returns in higher quality as BB's outperformed with a return of 5.72% compared to B and CCC & below rated credit tiers of the index returning 4.95% and 2.60%, respectively. For the full year, the BB, B, CCC & lower rated categories of the ICE BofA Global High Yield Index returned -10.89%, -11.56%, and -14.33%, respectively.

CLO debt spreads moved modestly tighter in December, benefitting from continued momentum following the better-than-expected US CPI data released in mid-November, which the market interpreted as a positive datapoint towards a potential slowdown in the pace of rate hikes. Secondary non-investment grade CLO trading volumes declined 73% month-over-month, consistent with seasonally lower volumes due to year-end market holidays. The CLO BB index returned 1.35% in December, 6.43% in the third quarter and -3.82% year to date.

Although default rates have moved up modestly from earlier in the year, they remain low across non-investment grade credit which is consistent with healthy balance sheets and positive free cash flow growth. Our outlook for defaults also remains relatively benign with well-below average default rates expected in 2023. Non-investment grade credit, especially given its lower duration profile and attractive yields, could likely see a re-emergence of investor demand as valuations have become very attractive on an absolute and relative basis.

In our view, non-investment grade yields are compensating investors for the below average default outlook, will continue to provide durable income and are attractive compared to other fixed income alternatives. The tightening of financial conditions has caused real GDP growth to slow and slowing demand has helped inflation come off the boil, but it is still higher than the Fed's target range. Normalizing supply chains and changes in consumer behaviour, among other factors, are likely to continue to mitigate upward inflationary pressures, which could eventually lead to a less aggressive path for Fed policy. That said, our analysts remained focused on the specific credit fundamentals of individual issuers in their coverage, assessing the base and downside cases in the event of a soft-landing or recession. Relatively healthy consumer and business balance sheets and growing nominal GDP should remain supportive for issuer fundamentals. While inventories are building as a result of slowing demand, we remain focused on sector-specific dynamics and idiosyncratic risks to individual issuers. Despite short-term volatility resulting from heightened uncertainty on economic growth and central bank tightening, we believe our bottom-up, fundamental credit research that focuses on security selection, avoiding credit deterioration, and putting only our "best ideas" into portfolios, will position us well to take advantage of the increased volatility.

Portfolio Positioning

The overall Fund exposure to floating rate assets remained unchanged at 67%, with an average duration of 1.36 years.

Despite intra-month swings credit spreads ended the period not far off unchanged, whilst rising government bond yields contributed to negative total returns for some duration assets. The credit market somewhat entered consolidation mode, having rallied some distance relatively quickly in the preceding months. Sentiment on the whole continued to be more constructive than it had been in the autumn, with investors taking positively tentative signs of decelerating inflation, the reopening of the Chinese economy post Covid, together with falling energy prices in Europe as temperatures stood above normal.

Technical forces in the market continued to be supportive, as fund flows remained in positive territory, and desks were generally keen to work down cash to maximise carry over the holidays. Liquidity in the secondary market persisted in being challenging in certain areas, particularly in lower rated more cyclical credits.

At the beginning of the month we continued to see above average activity in the primary market for the time of year. This was heavily focused on refinancing deals as opposed to LBO led transactions with material new money components. In the loan space Amend & Extend style transactions predominated, as sponsors sought to trade higher margins in exchange for pushing maturities further out. In the bond market deals tended to be heavily pre-marketed and issued at a notable discount to secondary levels.

To access the December 2022 Factsheet, please click here: 

http://www.rns-pdf.londonstockexchange.com/rns/1828N_1-2023-1-18.pdf

The Fund's website can be found at the following address: www.nbgmif.com

For more information, please refer to here.

** Current Portfolio Yield is a market-value weighted average of the current yields of the holdings in the portfolio, calculated as the coupon (base rate plus spread) divided by current price. The calculation does not take into account any Fund expenses or sales charges paid, which would reduce the results. The Current Yield for the Fund will fluctuate from month to month. The Current Yield should be regarded as an estimate of the Fund's rate of investment income, and it may not equal the realised distribution rate for each share class. You should consult the Fund's prospectus for additional information about the Fund's dividends and distributions policy. Past performance is not a reliable indicator of current or future results.

-ENDS-

For further information, please contact:

Background Information

The Company is a registered closed-ended investment company incorporated in Guernsey. It is managed by Neuberger Berman Europe Limited, which has delegated certain of its responsibilities and functions to the AIFM, Neuberger Berman Investment Advisers LLC, both of which are indirect wholly owned subsidiaries of Neuberger Berman Group LLC.

Neuberger Berman, founded in 1939, is a private, independent, employee-owned investment manager. The firm manages a range of strategies-including equity, fixed income, quantitative and multi-asset class, private equity, real estate and hedge funds-on behalf of institutions, advisors and individual investors globally. With offices in 26 countries, Neuberger Berman's diverse team has over 2,600 professionals. For eight consecutive years, the company has been named first or second in Pensions & Investments Best Places to Work in Money Management survey (among those with 1,000 employees or more). Neuberger Berman is a PRI Leader, a designation, since last assessed, that was awarded to fewer than 1% of investment firms for excellence in Environmental, Social and Governance (ESG) practices. In the 2021 PRI Assessment, the firm obtained the highest possible scoring for its overarching approach to ESG investment and stewardship, and integration across asset classes.

The firm manages $427 billion in client assets as of December 30, 2022. For more information, please visit our website at www.nb.com.

RISK CONSIDERATIONS

Market Risk: The risk of a change in the value of a position as a result of underlying market factors, including among other things, the overall performance of companies and the market perception of the global economy.

Liquidity Risk: The risk that the Fund may be unable to sell an investment readily at its fair market value. In extreme market conditions this can affect the Fund's ability to meet redemption requests upon demand.

Credit Risk: The risk that bond issuers may fail to meet their interest repayments, or repay debt, resulting in temporary or permanent losses to the Fund.

Interest Rate Risk: The risk of interest rate movements affecting the value of fixed-rate bonds.

Counterparty Risk: The risk that a counterparty will not fulfil its payment obligation for a trade, contract or other transaction, on the due date.

Counterparty Risk: The risk that a counterparty will not fulfil its payment obligation for a trade, contract or other transaction, on the due date.

Operational Risk: The risk of direct or indirect loss resulting from inadequate or failed processes, people and systems including those relating to the safekeeping of assets or from external events.

Derivatives Risk: The Fund is permitted to use certain types of financial derivative instruments ("FDI") (including certain complex instruments) which can give rise to particular risks, including market risk, liquidity risk and counterparty credit risk. This may increase the Fund's leverage significantly which may cause large variations in the value of your share.

Currency Risk: Investors who subscribe in a currency other than the base currency of the Fund are exposed to currency risk. Fluctuations in exchange rates may affect the return on investment.

The past performance shown is based on the share class to which this factsheet relates. If the currency of this share class is different from your local currency, then you should be aware that due to exchange rate fluctuations the performance shown may increase or decrease if converted into your local currency.

IMPORTANT INFORMATION

Source of all data and charts (unless stated otherwise): Neuberger Berman Europe Limited, Bloomberg and Blackrock Aladdin.

This document has been issued by NB Global Monthly Income Fund Limited (the "Company"), and should not be taken as an offer, invitation or inducement to engage in any investment activity and is solely for the purpose of providing information about the Company. This document does not constitute or form part of, and should not be construed as, any offer for sale or subscription of, or solicitation of any offer to buy or subscribe for, any share in the Company or securities in any other entity, in any jurisdiction. This product is only suitable for institutional, professional and professionally advised retail investors, private client fund managers and brokers who are capable of evaluating the merits and risks of the product and who plan to stay invested until the end of the recommended holding period and can bear loss of capital. An investor with reasonable knowledge of loans and alternative credit would need to be assessed by the advisor or distributor to establish suitability for this product.

Full product details, including a Key Information Document, are available on our website at www.nbgmif.com.

Due to the inherent risk of investment in the debt market particularly related to alternative credit, it is expected that a qualified investor would be able to understand the risks in such security types and the potential impact of investing in the product. This product is designed to form part of a portfolio of investments.  

The Company is a closed-ended investment company incorporated and registered in Guernsey and is governed under the provisions of the Companies (Guernsey) Law, 2008 (as amended), and the Registered Collective Investment Scheme Rules 2008 issued by the Guernsey Financial Services Commission ("GFSC"). It is a non-cellular company limited by shares and has been declared by the GFSC to be a registered closed-ended collective investment scheme. The Company's shares are admitted to the Official List of the UK Listing Authority with a premium listing and are admitted to trading on the Premium Segment of the London Stock Exchange's Main Market for listed securities.

Neuberger Berman Europe Limited is authorised and regulated by the Financial Conduct Authority and is registered in England and Wales, at The Zig Zag Building, 70 Victoria Street, London, SW1E 6SQ.

This document is presented solely for information purposes and nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security. We do not represent that this information, including any third-party information, is complete and it should not be relied upon as such. Any views or opinions expressed may not reflect those of the Company as a whole. All information is current as of the date of this material and is subject to change without notice. No part of this document may be reproduced in any manner without prior written permission of the Company. 

An investment in the Company involves risks, with the potential for above average risk, and is only suitable for people who are in a position to take such risks. No recommendation or advice is being given as to whether any investment or strategy is suitable for a particular investor. Each recipient of this document should make such investigations as it deems necessary to arrive at an independent evaluation of any investment, and should consult its own legal counsel and financial, actuarial, accounting, regulatory and tax advisers to evaluate any such investment. It should not be assumed that any investments in securities, companies, sectors or markets identified and described were or will be profitable. Investment in the Company should not constitute a substantial proportion of an investor's portfolio and may not be appropriate for all investors. Diversification and asset class allocation do not guarantee profit or protect against loss.

Past performance is not a reliable indicator of current or future results. The value of investments may go down as well as up and investors may not get back any of the amount invested. The performance data does not take account of the commissions and costs incurred on the issue and redemption of units.

The value of investments designated in another currency may rise and fall due to exchange rate fluctuations in respect of the relevant currencies. Adverse movements in currency exchange rates can result in a decrease in return and a loss of capital.

Tax treatment depends on the individual circumstances of each investor and may be subject to change, investors are therefore recommended to seek independent tax advice.

This document, and the information contained therein, is not for viewing, release, distribution or publication in or into the United States, Canada, Japan, South Africa or any other jurisdiction where applicable laws prohibit its release, distribution or publication, and will not be made available to any national, resident or citizen of the United States, Canada, Japan or South Africa. The distribution of this document in other jurisdictions may be restricted by law and persons into whose possession this document comes must inform themselves about, and observe, any such restrictions. Any failure to comply with the restrictions may constitute a violation of the federal securities law of the United States and the laws of other jurisdictions.

The Company's shares have not been and will not be registered under the US Securities Act of 1933, as amended (the "Securities Act"), or with any securities regulatory authority of any state or other jurisdiction of the United States. The shares may not be offered, sold, resold, pledged, delivered, distributed or otherwise transferred, directly or indirectly, into or within the United States, or to, or for the account or benefit of, US persons (as defined in Regulation S under the Securities Act). No public offering of the shares is being made in the United States.

The Company has not been and will not be registered under the US Investment Company Act of 1940, as amended (the "Investment Company Act") and, as such, holders of the shares will not be entitled to the benefits of the Investment Company Act. No offer, sale, resale, pledge, delivery, distribution or transfer of the shares may be made except under circumstances that will not result in the Company being required to register as an investment company under the Investment Company Act. In addition, the shares are subject to restrictions on transferability and resale in certain jurisdictions and may not be transferred or resold except as permitted under applicable securities laws and regulations. Any failure to comply with these restrictions may constitute a violation of the securities laws of any such jurisdictions.

The "Neuberger Berman" name and logo are registered service marks of Neuberger Berman Group LLC.

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