Volta Finance Limited - Net Asset Value as at 28 February 2021
Volta Finance Limited (VTA / VTAS) –
February 2021 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE
OR PART, IN OR INTO THE UNITED STATES
***** Guernsey, 11 March 2021
AXA IM has published the Volta Finance Limited
(the “Company” or “Volta Finance” or “Volta”) monthly report for
February. The full report is attached to this release and will be
available on Volta’s website shortly (www.voltafinance.com).
PERFORMANCE and PORTFOLIO
ACTIVITY
Volta has continued to perform well with +1.0%
in February, following +3.9% in January. This is despite headwinds
in equity and public credit markets which were hesitating in front
of growing uncertainty regarding the appropriate level for mid to
long-term yields. As Volta is predominantly invested in floating
rate instruments, the negative impact of rising long-term rates was
largely avoided.
The monthly asset class performances** were:
-0.7% for Bank Balance Sheet transactions, +1.5% for CLO equity
tranches; +0.6% for CLO debt; +16.7% for Cash Corporate Credit
deals (this bucket comprises funds that have a one-month delay in
publishing their NAV); and 0.0% for ABS. The strong performance of
the Cash Corporate Credit bucket reflects a sharp upwards revision
to the valuation of illiquid and credit-sensitive positions in one
US loan fund in which Volta has been invested since 2006. The main
driver for this outperformance is the sharp monetary and fiscal
stimuli currently in place in the US. However, the impact was not
material for Volta as this bucket represents only 2% of Volta’s
NAV.
In terms of fundamentals, in February,
trailing-12-month defaults rates declined in loan markets (for the
4th consecutive month). As at the end of February default rates
were 3.2% and 2.1% respectively for US and European loans, way
below the 13% and 10% rates that were originally forecasted by
rating agencies for Q1 2021 when trying to measure the consequences
of the Covid-19 crisis back in Q2 2020. Defaults are expected to
continue materializing in loan markets through 2021 and 2022 but at
a pace (probably between 2 and 4%) that is manageable for CLOs and
should not trigger any cash flow diversions from the CLO equity
positions held by the company.
A major theme for Volta in 2021, will be the
refinancing (where only the most senior debt tranches are called to
be re-issued at lower spread) or reset (where all the debt tranches
are called and re-issued and the deal is extended) of several CLO
positions. When looking across all our CLO Equity positions (circa
65% of the assets including the CMV), roughly two-thirds of the
related CLOs are good candidates for refi/reset. The resultant gain
to the equity tranche and thus Volta could be substantial. We
estimate that these operations may lead to extra capital payments
that may represent 1.5 to 2% of Volta’s NAV per annum and the
projected return of Volta’s overall portfolio may increase
accordingly by 1 to 1.5% per annum. We are already working on one
refi and one reset and we anticipate more to come along during the
year.
In terms of cash flows, February is structurally
a weak month for Volta. Interest and coupons received totaled the
equivalent of €1.3m. On a 6-month rolling basis, Volta received the
equivalent of €20.6m at the end of February (an increase of €0.2m
since the end of January), representing a 16.1% annualised cash
flow yield, based on the end February NAV. We expect overall cash
flows to continue to increase in the coming months/quarters.
In February we purchased one US CLO equity
position in the secondary market for a total of €1.9m. On average
and under standard assumptions, the projected yield for this
purchase was close to 14% (not including potential upside in case
of refi/reset).
This combination of advantageous factors for our
CLO Equity positions, which account now for a total of 65% of the
NAV means that the outlook for 2021 and beyond is favorable for
Volta. We are still optimistic that the NAV can reach €7.50
per share in the medium term. This, combined with an estimated
dividend close to 8% of NAV represents an attractive return stream,
especially when considering the discount to NAV at which the shares
are still trading.
As at the end of February 2021, Volta’s NAV was
€256.1m or €7.00 per share.
The month-end cash position was €8.6m.
*It should be noted that approximately 10.3% 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 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 notes. The most
recently available fund NAV or quoted price was for 9.1% as at 31
January 2021, 0.1% as at 31 December 2020 and 1.1% as at 30
September 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 BalabanoffWill Talkington+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 €858 billion in assets under management as of the
end of December 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.
*****
- Volta - Monthly Report - February 2021
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