Du är här

2016-01-25

Volta Finance Limited : Net Asset Value(s)

Volta Finance Limited (VTA) - December 2015 monthly report

NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO
THE UNITED STATES

*****

Guernsey, 25 January 2015

PERFORMANCE

At the end of December 2015, the Estimated NAV of Volta Finance Limited (the
"Company", "Volta Finance" or "Volta") was €285.7m or €7.82 per share, a
decrease of €0.31 per share, an amount corresponding exactly with the 31
cents per share dividend payment paid on 14 December 2015. Taking into
account this dividend payment, the monthly performance is flat.

The NAV performance for the calendar year 2015, including the April and
December dividend payments, was +10.0%. This was an encouraging performance
given the negative returns generated by many credit markets.

The GAV stood at €329.0m at the end of December 2015.

The 10% annual performance for 2015 was achieved despite some significant
spread widening in credit markets in the second half of 2015. Valuations at
the end of December already reflected a significant level of this stress. For
example, as at the end of December:

* Volta's USD CLO Equity tranches were priced, on average, at 53.9% of par
(significantly below the 75.5% average price recorded at the end of June
2015). These assets were valued at €42.9m at the end of December and
generated cash flows of €2.9m in the last 3 months
(October/November/December), implying an annualised yield in excess of 26%
of the end of December valuation.
* Volta's USD CLO Debt tranches were priced, on average, at 86.8% of par
(compared with 95.4% at the end of June 2015).

For 2016, the view of our Investment Manager is that a significant level of
stress is already discounted into the current prices of Volta's holdings.
Further, current pricing more than discounts the Investment Manager's
expectation for defaults in the US loan market to increase from the current
low levels towards average historical levels of around 3% by the end of 2016,
rising modestly higher in 2017. This expectation accounts for a significant
proportion of defaults to be concentrated in the oil&gas industry sector. As
a result, AXA IM do not anticipate a significant increase in the volatility
of the Company's NAV for 2016.

The Company has only modest exposure within its CLO portfolio (which accounts
for 73% of the GAV) to the oil&gas sector. Based on data extracted from
Intex, 2.62% of the underlying loans of this portion of the portfolio are
exposed to the oil&gas sector. Mining and extraction account for a further
0.89%. The rest of the portfolio comprises RMBS exposures or bank balance
sheet transactions with European banks. The vast majority of the oil&gas
exposure is through CLO debt that benefits from significant subordination to
actual losses. This reflects the Company's conservative management stance to
limit reinvestments in US Equity 2.0 CLO.

USD CLO Equity tranches have been historically the best asset class for Volta
and for years our preferred asset class when targeting 10%+ return, but CLO
Equity positions from 2.0 deals (with the most material exposure to oil&gas)
represented only 5.6% of the GAV as of the end of 2015.

MARKET REVIEW AND PORTFOLIO ACTIVITY

In December, credit markets were shaky again, with a negative performance from
corporate credit bonds and the US and the European loan markets.

On average during the last 6 months, the average mark-to-market decline in
prices was roughly compensated by the strong cash flows received.

In December, mark-to-market variations* of Volta's asset classes were: +0.1%
for Synthetic Corporate Credit deals; -0.7% for CLO Equity tranches; -0.8%
for CLO Debt tranches, +1.6% for Cash Corporate Credit deals; and, +35.8% for
ABS. The performance of the ABS bucket is due to the upward revaluation of
the UK non-conforming positions following the sale of one of the 3 positions
at a significant gain. The 2 remaining positions represent 5% of Volta's GAV
as of the end of December 2015.

During the month, the US Dollar depreciated by 2.8% against the Euro,
contributing negatively to the overall performance. However, following the
previous recent strength in the Dollar against the Euro the Company had
increased its currency hedging and the Company's exposure to the Dollar has
been reduced somewhat, standing at 32% of the Estimated NAV as at the end of
December.

In December, Volta received the equivalent of €1.2m in interest and coupons
(non-Euro amounts translated into Euro using end-of-month cross currency
rates) bringing the total cash amount received in terms of interest and
coupons during the last six months to €11.9m. Cash or cash equivalent
instruments, at the end of December, totalled €5.8m and, accordingly, Volta
could be considered as being very close to being fully invested.

In December, Volta took the opportunity of the widening of spreads on CLO
tranches to sell part of its 1.0 CLO debt tranches (which are relatively
insensitive to the current spread widening) and purchase more recent
transactions at attractive, deeper discount margins.

In December, sales and amortisation of CLO debt (2 USD CLO positions and 1
Euro position) totalled €8.1m and purchases totalled €3.9m (one USD CLO debt
and one Euro CLO equity). Using our standard assumptions, the two purchases
have a projected IRR slightly above 10%.

In addition, in December Volta also purchased two bank balance sheet positions
and one very junior debt position from a Spanish auto loan securitization for
a total of €12m. On average and under our standard assumptions these assets
have a projected IRR close to 11%.

Over the last 6 months, the Company's NAV has been largely stable, despite
significant stress in credit and equity markets. This has been achieved
thanks to the relatively conservative approach adopted over recent years,
combined with the breadth and flexibility of Volta's mandate, which enables
us to be selective and opportunistic. This has enabled alpha to be generated
on a consistent basis.

The November and December trades reflect the fact that, with the spread
widening observed, it now makes sense to rotate the portfolio out of short
term (and lower yielding) assets into more volatile and higher yielding
assets, that volatility primarily reflecting longer maturity dates.

In order to illustrate how the portfolio evolved during the last 6 months, the
projected IRR of the largest bucket in Volta, USD CLO Debt, moved from 8.6%
as of the end of June 2015 to 11.9% as of the end of December 2015 (using our
standard assumptions). This projected IRR does not take into account the
leverage through our repurchase agreement with Societe Generale, which will
further enhance the projected IRR.

AXA IM continues to see opportunities in several structured credit sectors
including mezzanine or equity tranches of CLOs, RMBS tranches as well as
tranches of Cash or Synthetic Corporate Credit portfolios.

* "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.

CONTACTS

For the Investment Manager

AXA Investment Managers Paris
Serge Demay
Serge.demay@axa-im.com

+33 (0) 1 44 45 84 47

Company Secretary and Portfolio Administrator

Sanne Group (Guernsey) Limited
voltafinance@sannegroup.com

+44 (0) 1481 739810

Liberum Capital Limited

Richard Bootle
Jonathan Wilkes-Green
+44 (0) 20 3100 2222

*****

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 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 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
€694 billion in assets under management as of the end of June 2015. AXA IM
employs approximately 2,360 people around the world.

*****

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. The
company 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 s...

Författare WKR

Tala om vad ni tycker

Tala om vad ni tycker

Ni är just nu inne på en betaversion av nya aktiespararna. Lämna gärna feedback på vad ni tycker i formuläret nedan.