Volta Finance Limited : Estimated Net Asset Value as at 31 October 2017

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Algemeen advies 23/11/2017 08:38
Volta Finance Limited (VTA) - October 2017 monthly report

Guernsey, 23 November 2017
AXA IM has published the Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") monthly report for October. The full report is attached to this release and will be available on Volta's website shortly (www.voltafinance.com).

In October, Volta's Estimated NAV* performance was +1.7%.

During the month, Volta purchased two USD BB tranches of CLO for the equivalent of €9.3m with an average projected yield close to 9% under market standard assumptions. One BBB CLO debt tranche was sold for the equivalent of €4.4m with a projected yield close to 4.5%.

The CLO market was again very active with a pursuit of CLO debt spread tightening. As at the end of October, spreads on CLO debt reached post 2008-crisis record lows and were tightening again in November. This is beneficial for the mark-to-market of the existing CLO debt positions of Volta although price appreciation above par is limited due to the callable nature of these instruments. Fundamentally speaking it is highly favourable to CLO equity positions as they are able to lock in a cheaper cost of funding. Volta continue to consider increasing the portion of its investments in CLO equities.

At the end of October 2017, Volta's Estimated NAV was €307.9m or €8.42 per share. The GAV stood at €351.4m.

In October, mark-to-market variations of Volta's asset classes were: +1.0% for Synthetic Corporate Credit deals; +2.3% for CLO Equity tranches; +0.8% for CLO Debt tranches, 0.0% for Cash Corporate Credit deals; and +0.7% for ABS.

In October, Volta generated the equivalent of €6.2m in interest and coupons net of repo costs (non-euro amounts translated into euro using end-of-month cross currency rates). This brings the total cash amount generated during the last six months in terms of interest and coupons to €16.6m.

Due to the significant amounts received recently, cash holdings or cash equivalent instruments at the end of October are still near 10% of the NAV. It is expected that most of this cash will be deployed in coming weeks.

*It should be noted that approximately 9.8% of Volta's GAV comprises investments in funds 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 in funds are valued using the most recently available NAV for each fund. The most recently available fund NAV was as at: 29 September 2017 for 9.8% of Volta's GAV.

** "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.

This announcement contains information that is inside information for the purposes of the Market Abuse Regulation (EU) No. 596/2014. Upon the publication of this announcement via Regulatory Information Service this inside information is now considered to be in the public domain.

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