Volta Finance Limited : Estimated Net Asset as at 30 November 2018
Volta Finance Limited (VTA / VTAS) –
November 2018 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE
OR IN PART, IN OR INTO THE UNITED STATES
***** Guernsey, 14 December 2018
AXA IM has published the Volta Finance Limited
(the “Company” or “Volta Finance” or “Volta”) monthly report for
November. The full report is attached to this release and will be
available on Volta’s website shortly (www.voltafinance.com).
PERFORMANCE and PORTFOLIO
ACTIVITY
In November, Volta’s Estimated NAV* total return
performance was -1.4%, a performance in line with the negative
performance of most credit and equity markets in November. The
total return for the 11 months to the end of November was
+4.9%.
This mainly reflected price decreases in two
areas: Euro CLO Equity tranches (-4%) and CLO Debt tranches (-2%).
The overall mark-to-market performances of Volta’s asset classes in
local currencies were: +1.4% for Bank Balance Sheet Transactions;
-0.5% for USD CLO Equity tranches; -3.7% for Euro CLO Equity
tranches; -1.8% for CLO Debt tranches; +0.6% for Cash Corporate
Credit deals; and +0.5% for ABS.
During the month, the equivalent of €12.6m was
invested in a new USD CLO debt tranche and two contributions to the
existing warehouse and the existing CMV. On average and under
market standard assumptions, the projected average IRR of all
purchases was in the area of 12.6%.
Given the increasing uncertainty around the
outcome of the UK’s Brexit negotiations, it is worth highlighting
Volta exposure to the UK:
- European deals represent 32% of Volta’s GAV;
- The overall CLO bucket (incorporating CLO Equity, CLO Debt, CLO
Warehouses and the CMV) represents 74.4% of Volta’s GAV. The
exposure to loans issued by UK entities is 3.9% of the underlying
loan portfolio of this overall bucket. There is no exposure
from USD CLOs and an average of 17% from Euro CLOs which,
themselves, represent 17.1% of Volta GAV;
- Volta has some exposure to the UK through its Regulatory
Capital trade, being: one Irish SME position (2.1% of GAV) and
another trade (2% of GAV) that has been sourced from a UK bank for
which the exposure to UK large cap corporates is 30% of the
underlying portfolio. The remainder of Volta’s Bank Balance Sheet
sub portfolio has exposure to UK corporates ranging between 0% and
10% (6 positions making 5% of GAV have no UK exposure out of 11
Regulatory Capital positions).
Overall Volta exposure to UK is 6% of its
underlying risks.
It is difficult to assess the potential
consequences of a hard Brexit but we can reasonably expect that it
would cause an increase in the default rates of UK based
corporates, given that most research suggests that the outcome
would be a drop of between 5% and 7.5% in UK GDP. This kind of GDP
drop is statistically in line with an annual default rate for the
UK loan market in the area of 9 to 14%. As an example a 10% default
rate on 17% of the underlying loan portfolio of the Euro CLO
bucket, by itself, would be painful but would not cause any
disruption in CLO Equity payments and could permit, through a
contagion effect, the generation of higher cash flow through
reinvestments in loans at a discount or with a higher spread.
It is also worth noting that any rise in defaults would only occur
with a lag.
In some ways, for the CLO positions, there may
be similarity to the Oil & Gas crisis seen in 2015/2016 and the
consequent impact on USD CLO positions. During these two years
defaults from Oil & Gas and Metals & Mining represented
2.35% of the US loan market but this did not have any material
impact on Volta’s mid-term performance other than some
mark-to-market volatility, mainly in Q1 2016.
In November, Volta generated the equivalent of
€1.9m in interest and coupons net of repo costs (non-Euro amounts
translated into Euro using end-of-month cross currency rates). This
brings the total cash amount generated during the last six months
in terms of interests and coupons to €19.9m.
As at the end of November 2018, Volta’s
Estimated NAV was €302.3m or €8.27 per share. The GAV stood at
€350.4m.
*It should be noted that approximately 13.8% of
Volta’s GAV comprises investments for which the relevant NAVs as at
the month-end date are normally available only after Volta’s NAV
has already been published. Volta’s policy is to publish its own
NAV on as timely a basis as possible in order to provide
shareholders with Volta’s appropriately up-to-date NAV information.
Consequently, such investments are valued using the most recently
available NAV for each fund or quoted price for such subordinated
note. The most recently available fund NAV or quoted price was for
10.1% as at 30 October 2018 and for 3.7% as at 28 September 2018.
** “Mark-to-market variation” is calculated as the
Dietz-performance of the assets in each bucket, taking into account
the Mark-to-Market of the assets at month-end, payments received
from the assets over the period, and ignoring changes in cross
currency rates. Nevertheless, some residual currency effects could
impact the aggregate value of the portfolio when aggregating each
bucket.
This announcement contains information
that is inside information for the purposes of the Market Abuse
Regulation (EU) No. 596/2014. Upon the publication of this
announcement via Regulatory Information Service this inside
information is now considered to be in the public
domain.
CONTACTS
For the Investment ManagerAXA
Investment Managers ParisSerge Demayserge.demay@axa-im.com+33 (0) 1
44 45 84 47
Company Secretary and
AdministratorBNP Paribas Securities Services S.C.A,
Guernsey Branch guernsey.bp2s.volta.cosec@bnpparibas.com +44
(0) 1481 750 853
Corporate Broker Cenkos Securities plc Andrew
WorneOliver PackardSapna Shah+44 (0) 20 7397 8900
***** ABOUT VOLTA FINANCE
LIMITED
Volta Finance Limited is incorporated in
Guernsey under The Companies (Guernsey) Law, 2008 (as amended) and
listed on Euronext Amsterdam and the London Stock Exchange's Main
Market for listed securities. Volta’s home member state for the
purposes of the EU Transparency Directive is the Netherlands. As
such, Volta is subject to regulation and supervision by the AFM,
being the regulator for financial markets in the Netherlands.
Volta’s investment objectives are to preserve
capital across the credit cycle and to provide a stable stream of
income to its shareholders through dividends. Volta seeks to attain
its investment objectives predominantly through diversified
investments in structured finance assets. The assets that the
Company may invest in either directly or indirectly include, but
are not limited to: corporate credits; sovereign and
quasi-sovereign debt; residential mortgage loans; and, automobile
loans. The Company’s approach to investment is through vehicles and
arrangements that essentially provide leveraged exposure to
portfolios of such underlying assets. The Company has appointed AXA
Investment Managers Paris an investment management company with a
division specialised in structured credit, for the investment
management of all its assets.
*****
ABOUT AXA INVESTMENT
MANAGERSAXA Investment Managers (AXA IM) is a multi-expert
asset management company within the AXA Group, a global leader in
financial protection and wealth management. AXA IM is one of the
largest European-based asset managers with 766 investment
professionals and €759 billion in assets under management as of the
end of June 2018.
*****
This press release is distributed and
published by AXA Investment Managers Paris (“AXA IM”), in its
capacity as alternative investment fund manager (within the meaning
of Directive 2011/61/EU, the “AIFM Directive”) of Volta Finance
Limited (the "Volta Finance") whose portfolio is managed by AXA
IM.
This press release is for information
only and does not constitute an invitation or inducement to acquire
shares in Volta Finance. Its circulation may be prohibited in
certain jurisdictions and no recipient may circulate copies of this
document in breach of such limitations or restrictions. This
document is not an offer for sale of the securities referred to
herein in the United States or to persons who are “U.S. persons”
for purposes of Regulation S under the U.S. Securities Act of 1933,
as amended (the “Securities Act”), or otherwise in circumstances
where such offer would be restricted by applicable law. Such
securities may not be sold in the United States absent registration
or an exemption from registration from the Securities Act. Volta
Finance does not intend to register any portion of the offer of
such securities in the United States or to conduct a public
offering of such securities in the United States.
*****
This communication is only being
distributed to and is only directed at (i) persons who are outside
the United Kingdom or (ii) investment professionals falling within
Article 19(5) of the Financial Services and Markets Act 2000
(Financial Promotion) Order 2005 (the “Order”) or (iii) high net
worth companies, and other persons to whom it may lawfully be
communicated, falling within Article 49(2)(a) to (d) of the Order
(all such persons together being referred to as “relevant
persons”). The securities referred to herein are only available to,
and any invitation, offer or agreement to subscribe, purchase or
otherwise acquire such securities will be engaged in only with,
relevant persons. Any person who is not a relevant person should
not act or rely on this document or any of its contents. Past
performance cannot be relied on as a guide to future
performance.
*****This press release
contains statements that are, or may deemed to be, "forward-looking
statements". These forward-looking statements can be identified by
the use of forward-looking terminology, including the terms
"believes", "anticipated", "expects", "intends", "is/are expected",
"may", "will" or "should". They include the statements regarding
the level of the dividend, the current market context and its
impact on the long-term return of Volta Finance's investments. By
their nature, forward-looking statements involve risks and
uncertainties and readers are cautioned that any such
forward-looking statements are not guarantees of future
performance. Volta Finance's actual results, portfolio composition
and performance may differ materially from the impression created
by the forward-looking statements. AXA IM does not undertake any
obligation to publicly update or revise forward-looking
statements.
Any target information is based on
certain assumptions as to future events which may not prove to be
realised. Due to the uncertainty surrounding these future events,
the targets are not intended to be and should not be regarded as
profits or earnings or any other type of forecasts. There can be no
assurance that any of these targets will be achieved. In addition,
no assurance can be given that the investment objective will be
achieved.
The figures provided that relate to past
months or years and past performance cannot be relied on as a guide
to future performance or construed as a reliable indicator as to
future performance. Throughout this review, the citation of
specific trades or strategies is intended to illustrate some of the
investment methodologies and philosophies of Volta Finance, as
implemented by AXA IM. The historical success or AXA IM’s belief in
the future success, of any of these trades or strategies is not
indicative of, and has no bearing on, future results.
The valuation of financial assets can
vary significantly from the prices that the AXA IM could obtain if
it sought to liquidate the positions on behalf of the Volta Finance
due to market conditions and general economic environment. Such
valuations do not constitute a fairness or similar opinion and
should not be regarded as such.
Editor: AXA INVESTMENT MANAGERS
PARIS, a company incorporated under the laws of France, having its
registered office located at Tour Majunga, 6, Place de la Pyramide
- 92800 Puteaux. AXA IMP is authorized by the Autorité des Marchés
Financiers under registration number GP92008 as an alternative
investment fund manager within the meaning of the AIFM
Directive.
*****
- Volta - Monthly Report - November 2018
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