Net Asset Value as at 31 May 2020
Volta Finance Limited (VTA / VTAS) – May
2020 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE
OR IN PART, IN OR INTO THE UNITED STATES
***** Guernsey, 10 June 2020
AXA IM has published the Volta Finance Limited
(the “Company” or “Volta Finance” or “Volta”) monthly report for
May. The full report is attached to this release and will be
available on Volta’s website shortly (www.voltafinance.com).
PERFORMANCE and PORTFOLIO
ACTIVITY
May was the second month of good performance
after April, helping further to recover the mark-to-market impact
of the COVID-19 pandemic. Volta’s NAV* total return performance in
May was +4.5%.
The monthly performances** were, in local
currency: +1.9% for Bank Balance Sheet transactions, +5.7% for CLO
Equity tranches; +5.8% for CLO Debt; -3.5% for Cash Corporate
Credit deals (this bucket compromises of funds that have a
one-month delay in publishing their NAV); and +0.8% for ABS.
At the end of the month, the average price for
CLO Equity tranches was 42.6% and 38.3% respectively for USD and
Euro positions, 63.2% for USD CLO debt (only one new Euro CLO debt
position was purchased in the secondary market in May).
Even though almost all market participants
revised downward the impact of the COVID 19 crisis in terms of the
outlook for default for loans and high yield markets, prices for
our holdings are still very depressed. We believe that there is
more to come in terms of price appreciation. For example, the
pricing of new CLO BB tranches tightened by almost 150bp between
the last days of May and the time of writing this commentary.
Concerning defaults, at the end of May, the
Last-12-Month default rate is close to 3.5% for US loans and
slightly below 2% for European loans. Expectations for the end of
2020 are in the area of 5% for the U.S. and 3.5% for Europe (far
lower than levels feared only a few weeks ago when some investors
expected rates close to 10%).
In the same vein we are accumulating, day after
day, evidence that the most active/solid CLO managers can
re-arrange their books, sometimes being able to reduce the CCC
bucket without any significant cost in terms of subordination (as
measured by CLO Over Collateralization tests). Using May trustee
reports as a reference, close to 20% of US CLOs were breaching
their reinvestment test (the test that causes a partial diversion
of the cash flow due to the equity tranche). None of the USD
CLO Equity positions held in Volta were breaching such tests.
Volta resumed investing in May through the
purchase of €3m nominal of a newly issued Euro BB CLO tranche. This
tranche was purchased at 90% of par with a DM at 911bps. With a
coupon formula at Euribor +725bps and when considering where the
most recent Euro BB tranches have been priced, it is probably
already trading close to par.
As at the end of May 2020, Volta’s NAV was
€204.6m or €5.59 per share. The Company will pay a 10
cents dividend per share to shareholders on 16th June.
The month-end cash position was €10.7m.
Considering the payment of the dividend and the necessity to
maintain a working capital balance to cover potential margin calls
from currency hedging positions and further capital calls from
pre-existing investments, Volta is almost fully invested.
Regarding the medium to long term performance
outlook, the most recent weeks have confirmed to us that we might
have a pace of defaults that is almost compatible with the
maintenance of full payments for Volta’s CLO Equity position. It
may be that some of our deals suffer from time to time some partial
diversion of cash flows but, it is now expected to be the exception
rather than the norm and highly attractive returns should be
derived from the current portfolio in due course.
*It should be noted that approximately 11.8% 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 NAV on
as timely a basis as possible 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 6.2% as at 30
April 2020, 5.6% as at 31 March 2020.
** “performances” of asset classes are
calculated as the Dietz-performance of the assets in each bucket,
taking into account the Mark-to-Market of the assets at period
ends, 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.
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
WorneDaniel BalabanoffRob Naylor+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 753 investment
professionals and €801 billion in assets under management as of the
end of April 2020.
*****
This press release is 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.
*****
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