Volta Finance Limited: Net Asset Value as at 31 December 2018
Volta Finance Limited (VTA / VTAS) –
December 2018 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE
OR IN PART, IN OR INTO THE UNITED STATES
***** Guernsey, 18 January 2019
AXA IM has published the Volta Finance Limited
(the “Company” or “Volta Finance” or “Volta”) monthly report for
December. 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 December, Volta’s NAV* total return
performance was -4.8%, in line with the negative performance of
most credit and equity markets in December. The NAV performance for
2018 as a whole was +0.1%, compared with US High Yield (-2.3% for
Ice BofAML index), US loan market (+0.5% S&P/LSTA Index) or
broad equity indices (-4.4% for S&P, -11.4% for MSCI Euro).
The negative performance in December mainly
reflected price decreases in CLO tranches, both debt and equity
tranches. The overall mark-to-market performances of Volta’s asset
classes in local currencies were: -0.4% for Bank Balance Sheet
Transactions; -5.7% for CLO Equity tranches; -5.9% for CLO Debt
tranches; -0.3% for Cash Corporate Credit deals; and -0.2% for
ABS.
The significant price decline in CLO debt and
CLO equity tranches reflected the mark-to-market price declines
seen during the month for underlying USD or European loans
(respectively -2.9% and -1.0% according to the LSTA index) rather
than any change in underlying defaults. As a result of the price
declines, the average price of Volta’s USD CLO debt bucket was
around 91%, a level not seen since the end of July 2016 following
the Brexit vote. There is no evidence of any deterioration of the
credit quality of underlying positions. Indeed, given the low
level of defaults, the subordination of the debt positions is
improving through the passage of time. During the first 2 weeks of
January the average price of USD CLO BB debt rebounded by 1.5%.
We took the opportunity of the December price
declines to purchase more assets, deploying the surplus cash
balances previously held. The equivalent of €21.8m was invested
(one USD BB CLO, one USD Equity CLO, one bank balance sheet
transaction and some contributions to the existing CMV and
warehouse). On average and under market standard assumptions, the
projected average IRR of all purchases was in the area of 11.6%. We
sold the equivalent of €6.7m as well during the month (3 CLO debt
positions and one bank balance sheet transaction). As at the end of
December 2018, Volta was fully invested, in anticipation of a
possible market rebound.
In the US and European loan markets the retail
sector is the largest industry contributing to defaults (on a
twelve month basis, as at the end of December 2018, LCD measured
1.6% and 0.1% default rates in US and in Europe, far below
historical average). Like many market participants, we expect that
the retail sector will continue to be a major contributor to loan
defaults in 2019. However, Volta’s exposure to the retail
sector is limited, at only 3.8% of Volta’s underlying assets.
Generally, the quality of Volta’s retail assets is also considered
to be higher than the broader market. By way of example,
the largest three exposures to retail (0.20% of Volta
underlying assets) are Bass Pro, Staples Inc. and Michaels
Stores. In all three cases, the loans trade at a higher price
than the market average price for retail loans. Volta’s largest
retail loan trading at significant discount to par (in the
area of 80% to par) represent 0.12% of Volta underlying assets,
being Douglas Holdings (European retail perfumes/cosmetics).
As noted in last month’s report, Volta has a
limited exposure to Sterling & the UK (6% of underlying credits
are from UK based companies) and so would be unlikely to suffer
materially from direct losses in relation with the Brexit (taking
into account the 5 to 7.5% drop in GDP that many economists,
including the BoE, expect from the most adverse scenario around
Brexit).
In December, Volta generated the equivalent of
€1.6m 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 €19.7m.
As at the end of December 2018, Volta’s NAV was
€282.2m or €7.71 per share. The GAV stood at €329.8m.
On 11th December 2018, the Board of Volta
announced that it considered the company’s shares to qualify as an
“excluded security” under the Financial Conduct Authority’s rules
regarding distribution of non-mainstream pooled investments (NMPI)
noting, nonetheless that financial advisers should seek their own
advice on the matter.
*It should be noted that approximately 11.3% 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
7.2% as at 30 November 2018 and for 4.1% 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 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 - December 2018
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