NOT FOR RELEASE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR PART, IN OR INTO
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Guernsey, 9 June 2021
PERFORMANCE and PORTFOLIO ACTIVITY
Volta has continued to perform well in May with +0.4%, reaching a total return of 8.9% for the first five months of 2021.
This time around, the performance was driven almost evenly by the good performance from CLO equity, CLO debt tranches, and Bank Balance sheet transactions. This month, the USD depreciation cost 0.7% of the monthly performance.
The monthly asset class performances** were: +1.4% for Bank Balance Sheet transactions, +1.6% for CLO equity tranches; +1.2% for CLO debt; -2.6% for Cash Corporate Credit and ABS (together representing 3.1% of GAV).
In terms of fundamentals, trailing-12-month default rates continued to decline in May, reaching post-Covid new lows with 1.7% default rate both for US loans and European loans. We were expecting default rates to converge between the US (where the impact of the Covid was more important) and
This relatively low default rate is manageable for CLOs and the improving situation should be favourable to the Company. It gives some ground to our strategy to reinforce our CLO Equity bucket in the recent years.
In terms of cash flows, May is structurally a weak month for Volta. Interests and coupons received during the month totaled the equivalent of €1.7m. On a 6-month rolling basis, Volta received the equivalent of €20.7m at the end of May, representing a 15.9% annualised cash flow yield, based on the end May NAV. We still expect overall cash flows to continue to increase in the coming months/quarters.
In May, Volta transformed a USD CLO warehouse into a new CLO and one existing USD CLO tranche was reset. All together the equivalent of €2.3m was allocated to these deals. On average, under market standard assumptions, the projected IRR of these add-ons was in the area of 13%.
As at the end of
The month-end cash position was €14.5m.
*It should be noted that approximately 9.5% 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 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 8.5% as at 30 April 2021 and 1.0% as at 31
** “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 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 - Monthly Report -
May 2021
© OMX, source