LibreMax Asset-Backed Income Fund (Class I - LMIFX)

Important Information

Overview:

This document contains general information on LibreMax Asset-Backed Income Fund (the “Fund”) which is managed by LibreMax Capital, LLC (“LibreMax”). Capitalized terms and definitions are as described in the Fund’s most recently updated Prospectus and SAI filings.

An investor should consider the investment objectives, risks, and charges and expenses of the fund carefully before investing. A prospectus which contains this and other information about the fund may be obtained by calling 1-855-965-5812 or visiting www.libremax.com. The prospectus should be read carefully before investing.

While all the information herein is believed to be accurate, LibreMax makes no express warranty as to the completeness or accuracy of such information, nor can it accept any responsibility to update errors appearing herein. More complete information about the product will be contained in the offering documents for such Fund.

There is no guarantee that the investment objective will be achieved. Moreover, the past performance (if any) of the investment team should not be construed as an indicator of future performance. Any projections, market outlooks or estimates in this document are forward looking statements and are based upon certain assumptions. Other events which were not taken into account may occur and may significantly affect the returns or performance of the Fund. Any projections, outlooks or assumptions should not be construed to be indicative of the actual events which will occur.  Furthermore, investors should not construe the performance of the Predecessor Fund, or any other investment vehicle, as providing any assurances or predictive value regarding future performance of the Fund.

Performance estimates or objectives should not be relied upon as an indication of actual or projected future performance or distribution levels. No representation is made that the investment process, investment strategies, goals or risk management techniques discussed in this presentation will or are likely to be achieved or successful. There is no assurance that the investments in the product will be similar to any investment ideas or parameters provided herein.

Although the Fund intends to implement a quarterly share repurchase program, there is no guarantee that an investor will be able to sell all of the Common Shares that the investor desires to sell. The Fund should therefore be considered to offer limited liquidity.

Risk Disclosures:

An investment in the Fund should be considered a speculative investment that entails substantial risks, and a prospective investor should invest in the Fund only if they can sustain a complete loss of their investment.

Before investing you should carefully consider the investment objectives, risks, charges, and expenses of the Fund. This and other information is in the prospectus. An investor should read the prospectus carefully before investing.

Risks associated with an investment in the Fund include but are not limited to the following:

• The Fund’s Shares will not be listed on any securities exchange.
• The Fund is exposed to risks associated with changes in interest rates.
• The Fund’s distributions may be funded from offering proceeds or borrowings, which may constitute a return of capital and reduce the amount of capital available to the Fund for investment. Any capital returned to Shareholders through distributions will be distributed after payment of fees and expenses, as well as any applicable sales load.
• Because the asset backed finance investments pursued by the Fund are not typically registered under the federal securities laws like stocks and bonds, investors in loans have less protection against improper practices than investors in registered securities.
• ABF Investments are generally not insured or guaranteed by the related sponsor or any other entity and therefore, if the assets or sources of funds available to the issuer are insufficient to pay those outstanding liabilities, the Fund will incur losses.
• The Fund may invest a portion of its assets in securities and credit instruments associated with real assets, including real estate, infrastructure, digital infrastructure, datacenters, railcar, and aviation, which have historically experienced substantial price volatility.
• The Fund may invest a portion of its assets in securities and credit instruments of companies in the real estate industry, which has historically experienced substantial price volatility.
• Below investment grade instruments (also known as “junk bonds”) have predominantly speculative characteristics and may be particularly susceptible to economic downturns, which could cause losses.
• Certain investments may be exposed to the credit risk of the counterparties with whom the Fund deals.
• CLOs may present risks similar to those of other types of debt obligations and, in fact, such risks may be of greater significance in the case of CLOs depending upon the Fund’s ranking in the capital structure. In certain cases, losses may equal the total amount of the Fund’s principal investment. Investments in structured vehicles, including equity and junior debt securities issued by CLOs, involve risks, including credit risk and market risk.
• The valuation of securities or instruments that lack a central trading place (such as fixed-income securities or instruments) may carry greater risk than those that trade on an exchange.
• Derivative investments have risks, including the imperfect correlation between the value of such instruments and the underlying assets of the Fund.
• The Fund may be materially adversely affected by market, economic and political conditions and natural and man-made disasters, including pandemics, wars and supply chain disruptions, globally and in the jurisdictions and sectors in which the Fund invests.
• Non-U.S. securities may be traded in undeveloped, inefficient and less liquid markets and may experience greater price volatility and changes in value—changes in foreign currency exchange rates may adversely affect the U.S. dollar value of and returns on foreign denominated investments.
• The Fund may borrow money, which magnifies the potential for gain or loss on amounts invested, subjects the Fund to certain covenants with which it must comply and may increase the risk of investing with the Fund.
• To qualify and remain eligible for the special tax treatment accorded to RICs and their shareholders under the Code, the Fund must meet certain source-of-income, asset diversification and annual distribution requirements, and failure to do so could result in the loss of RIC status.

Definitions:

LibreMax is the investment manager to the Fund and a wholly owned subsidiary of the LibreMax Intermediate Holdings, LP (the “Firm”).

Trimaran Advisors L.L.C. (“Trimaran”) is a CLO manager, and a wholly owned subsidiary of the Firm

Firm AUM represents the unaudited estimated net assets under management of LibreMax and Trimaran and includes subscriptions/redemptions as of the date of this document. Trimaran Advisors’ AUM is calculated based upon the principal balance of collateral obligations and cash within the CLOs under management, as well as the principal balance of collateral obligations held in warehouse facilities. For entities within their respective investment periods, LibreMax’s AUM includes committed but uncalled capital.  For entities outside their respective investment periods, LibreMax’s AUM includes uncalled capital commitments required to pay down any subscription facility utilization or fund future trade commitments.

Leverage means the total amount of debt outstanding, such as through reverse repurchase agreements, credit facilities or other forms of financial borrowings, divided by the Fund's Net Asset Value.

Asset-Backed Investments include private asset-backed finance investments and traded structured credit products.  Asset-Backed Investments are backed by a tangible asset or by a pool of contractual payments or receivables, which serve as collateral if the borrower is unable to fulfill their obligation to repay.

Floating Rate means investments with interest payments determined by applying a margin to a variable underlying interest rate such as the Secured Overnight Financing Rate (“SOFR”) that adjusts periodically. 

The Morningstar LSTA Levered Loan 100 Index (SPBDLL) measures the performance of the floating rate dollar-denominated largest 100 levered loan facilities in the US market.

The Bloomberg US Agg Index (LBUSTRUU) measures the performance of the investment grade, fixed rate, US dollar denominated, taxable bond market.

The 1-Year T-Bills (SPBDUS1T) Index measures the performance of US Treasury fixed-rate securities with zero to 1-year maturities.

The referenced indices are shown for general market comparisons. Unless otherwise indicated, investors cannot directly invest in an index and unmanaged index returns do not reflect any fees, expenses or transaction costs. Reference indices are provided for illustrative purposes only. There are no known published benchmarks or indices comparable to the investment strategies of the Fund.

Residential represents private investments backed by underlying residential mortgages, secured directly or indirectly by either single family or multifamily properties.

Commercial represents private investments backed by commercial receivables, including but not limited to receivables such as aircraft leases, equipment leases, and loans to small businesses.

Consumer represents private investments backed by receivables due from consumers, including but not limited to auto loans, credit cards, home improvement loans, internet and phone service, and unsecured consumer loans.

ABS (or Asset Backed Securities) are instruments secured by financial, physical, and/or intangible assets (e.g., receivables or pools of receivables), and investments in any assets/instruments underlying the foregoing structured/secured obligations.

CLOs (or Collateralized Loan Obligations) are instruments that represent debt and equity tranches of collateralized loan obligations and collateralized debt obligations.

CMBS (or Commercial Mortgage-Backed Securities) are fixed income instruments that are secured by mortgage loans on commercial real property.

RMBS (or Residential Mortgage-Backed Securities) are securities that may be secured by interests in a single residential mortgage loan or a pool of mortgage loans secured by residential property.

The Fund is distributed by Quasar Distributors, LLC.