Volta Finance Ld Volta Finance Limited - Net Asset Value As At 31 March 2020
April 14 2020 - 12:00PM
UK Regulatory
TIDMVTA
Volta Finance Limited (VTA / VTAS) -- March 2020 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR
INTO THE UNITED STATES
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Guernsey, 14 April 2020
AXA IM has published the Volta Finance Limited (the "Company" or "Volta
Finance" or "Volta") monthly report for March. The full report is
attached to this release and will be available on Volta's website
shortly (
https://www.globenewswire.com/Tracker?data=hyLx2_S1GMgkt-9-8anunAFljH04cz0-sGo1AfsgNYDijh0yZzs3P0OkbAtuf0zutzNCn2IHYAqbh3WtwMAz-kIJJGVaQP0wXfuSd8s368c=
www.voltafinance.com).
PERFORMANCE and PORTFOLIO ACTIVITY
In March, the impact of the COVID-19 crisis was very material on Volta,
with the Company's NAV* falling by -32.4%.
The monthly performance** in local currency was: -4.5% for Bank Balance
Sheet transactions, -36.9% for CLO Equity tranches; -41.3% for CLO Debt;
+0.1% for Cash Corporate Credit deals (this bucket comprises funds that
have one-month delay in publishing their NAV); and -11.9% for ABS.
Considering the above market reactions, the strategy that was in place
for several quarters already to prefer CLO equity positions instead of
leveraging CLO debt tranches permitted avoiding an even larger impact
from the pandemic.
At the end of the month, average prices for CLO Equity tranches were
43.6% and 28.9% respectively for USD and Euro positions, 54.3% for USD
CLO debt (Volta does not hold Euro CLO debt).
These prices incorporate what we consider as a highly probable
assumption that some CLO Equity positions will start suffering partial
diversion of cash flows as early as July and that this might become more
pronounced in October due to the likely increase of the excess CCC
bucket in CLOs.
The lower average price for EUR CLO Equity relative to USD CLO Equity is,
we believe, the reflection of lower liquidity and risk appetite in
Europe than in the US for this type of assets, as the industries of
bigger concern like energy and gaming have significant lower weightings
in Europe than in the US.
As mentioned in our interim communication on 24(th) March, our first
priority was to secure Volta's balance sheet. A number of positions had
been sold prior to the crisis but an additional four positions were sold
(three CLO Debt and one ABS) for a total of EUR9.7m to face margin calls
from currency hedging and amounts drawn from previous investments.
These positions generated a loss of EUR4.9m (0.13 cents per share)
relative to the end February valuation. We also reduced significantly
the amount of currency hedging to avoid margin calls and, at the end of
March, Volta had almost enough cash to fully close its repurchase
agreement. April is a month with large cashflows from our assets. We
expect this to result in a comfortable net cash cushion following the
repo repayment.
As announced on 2(nd) April, the decision was taken to cancel the
dividend due for payment at the end of April. This was a precautionary
measure to ensure adequate cash resources given the uncertainty around
the cash flow receipts in April. However, both the Board of Volta and
AXA IM are committed to reinstituting dividend payments as soon as
possible.
As at the end of March 2020, Volta's NAV was EUR185.1m or EUR5.06 per
share (including EUR9m in cash). The GAV stood at EUR197.1m with nearly
EUR12m liabilities, principally being the repo which is expected to be
repaid by the end of April.
Regarding longer term performance, it is, as yet, too early to say with
certainty how this crisis will impact Volta's cash flows and NAV.
However, it is reasonable to expect that:
-- Rating agencies will continue to downgrade underlying loans so that the
CCC bucket in the underlying loan portfolios will on average exceed the
typical 7,5% authorized level. Our view is that the CCC buckets, on
average, might reach c. 15% on average in the CLO underlying leveraged
loan market. Depending on realized losses and loans in default, such
levels would trigger diversion of payments due to CLO Equity. In 2009
Volta faced a similar situation and, in that period, Volta's portfolio
outperformed significantly the average market. We will keep you informed
about how Volta's positions are performing relative to market.
-- Most rating agencies/economic researchers envisage that the COVID-19
crisis might cause defaults in high yield corporate names to rise to
around 10% (not accounting for the recession impact), in line with the
Global Financial Crisis, 12 years ago. One of the differences though
should be the pace at which defaults will occur. During the GFC we had,
in the US, a spike of defaults in 2009 and then almost a normal situation
in 2010. This time, as the vast majority of loans are covenant light,
companies are not pushed into default rapidly and have more time to
survive the EBITDA reductions that the COVID-19 crisis is causing. Adding
to that the massive governmental and central bank support that is being
implemented the pattern regarding defaults might be significantly
different from the GFC with a few years of above average default rates
but without a brutal 2009-like spike. Should the covenant-lite issuers be
kept alive (though with very high leverage), the resulting default
pattern from all those actions would be better for CLO Equity positions
and for Volta as it gives more time for reinvestments at discount (inside
and outside CLOs).
*It should be noted that approximately 15.5% 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 9.0% as at 29 February 2020, 4.3% as at 31 December 2019
and 2.2% as at 30 September 2019.
** "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 Manager
AXA Investment Managers Paris
Serge Demay
https://www.globenewswire.com/Tracker?data=gCbIiIb2PkGLeiOzarfbNR_htxtbyz8QBwd7hluppVOiFrfjg2RK2LN_uuUrmBKcbQN9RR87eSGHMtfMq5_hd3QFs4w5Rre7wCSRCrWvE98=
serge.demay@axa-im.com
+33 (0) 1 44 45 84 47
Company Secretary and Administrator
BNP Paribas Securities Services S.C.A, Guernsey Branch
https://www.globenewswire.com/Tracker?data=wvmDnwA76nMBghajwivDRy5kkpvMmBqlugBxUEtvMS3npJ-5L0ZaksZeZnSp6dZtrM1LQ1cC_emsUq4qDP4uSLLQHyiOYRR9kunUZrCzAw1xqi0wQyjfY92KWGtCnPaYg2NgWGB5tINdWypRjqNnDoYbd63S10iLoP4s2M4X73amEuHIvGSXwia0cOMV6ayWKpyAy6r-_ji-jwOdqBWT3tcX0PtcuJnM6Osw9LOHItij12kNzwh_1aIyfCs-562TcXviLeEbvpAeBxyOotMieqDt-r8QGaaUuQWGIJhdsIrLkW9OjuLXAZxaCbIfXAZvKPtdgnUJxkAh7L4Kwa7pafivW-KLA4ljasRJU6aw31EmGpeA3IgGbTF9851ZuKDk
guernsey.bp2s.volta.cosec@bnpparibas.com
+44 (0) 1481 750 853
Corporate Broker
Cenkos Securities plc
Andrew Worne
Daniel Balabanoff
Rob Naylor
+44 (0) 20 7397 8900
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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.
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ABOUT AXA INVESTMENT MANAGERS
AXA 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 739 investment professionals and EUR750 billion in assets
under management as of the end of March 2019.
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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.
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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.
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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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Attachment
-- March 2020 Monthly Press Release final
https://ml-eu.globenewswire.com/Resource/Download/70a5fe1b-c891-4aca-8208-41b6db031ddf
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April 14, 2020 12:00 ET (16:00 GMT)
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