NOT FOR RELEASE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR PART, IN OR INTO
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Guernsey, 10 December 2021
PERFORMANCE and PORTFOLIO ACTIVITY
November’s performance was positive at +1.0%. The year-to-date total return of the Company is 17.5%. Once again this month, the performance of Volta’s portfolio bore little correlation to wider markets: loan cash flows remained resilient and no meaningful news arose to alter the expectation that defaults will remain low and cash flows strong.
The new Omicron Covid variant had a much wider impact on broad equity market valuation but did not seem to significantly influence the solid outlook for loans in 2022 and 2023. There remain billions available to refinance debt (including loans) and the maturity wall of loan markets, both in the US and in
For Volta, we remain significantly exposed to CLO Equity positions (2/3rds of our assets) to benefit from the large cash flows such positions are paying so far and are expected to continue paying. In 2021 we succeeded in reshaping most of our CLO equity positions by refinancing or resetting the long-term leverage that supports the CLO Equity position arbitrage. All other things being equal, we can expect to receive higher and longer-term cash flows from such CLO Equity positions.
November is generally a relatively low-volume month in terms of CLO interests and coupons with the equivalent of €1.2m being received. On a 6-month rolling basis to the end of November, Volta received the equivalent of €25.9m, representing a 19.1% annualised cash flow yield, based on the end of the month NAV.
In November, we purchased some BB and B tranches of CLOs, we took the opportunity of a CLO reset to add to an existing CLO Equity position at a very competitive price (81.5% of par) and we opened a new
Turning to the detailed asset classes, the monthly performances** were: +0.8% for Bank Balance Sheet transactions, +0.7% for CLO equity tranches; -0.1% for CLO debt; +0.3% for Cash Corporate Credit and ABS (together representing 3.0% of NAV). The long USD exposure contributed positively to the monthly performance by 0.7%.
As at the end of November Volta is fully invested and CLO Debt/Equity/Warehouses are representing 90% of the assets. Month after month we are gradually transitioning Volta towards being a pure CLO vehicle and this process will continue with the remaining residual non-CLO assets during 2022.
As at the end of
*It should be noted that approximately 9.2% 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 3.2% as at 31 October 2021, 0.7% as at
** “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
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
guernsey.bp2s.volta.cosec@bnpparibas.com
+44 (0) 1481 750 853
Corporate Broker
Cenkos Securities plc
+44 (0) 20 7397 8900
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ABOUT
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
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ABOUT
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This press release is for information only and does not constitute an invitation or inducement to acquire shares in
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This communication is only being distributed to and is only directed at (i) persons who are outside the
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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.
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
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
Editor:
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Attachment
- Volta - November Monthly Report
© OMX, source