Volta Finance Limited : Estimated Net Asset Value as at 30 November 2017

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Algemeen advies 18/12/2017 08:18
- Volta Finance Limited (VTA) - November 2017 monthly report
Guernsey, 18 December 2017
AXA IM has published the Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") monthly report for November. The full report is attached to this release and will be available on Volta's website shortly (www.voltafinance.com).
In November, Volta's Estimated NAV* performance was +0.1%, bringing the performance for the year to date to 6% (dividends reinvested at NAV).

On 21 December, Volta will pay a quarterly dividend of 0.16 euro per share (with an ex-dividend date of 30 November) representing an annualised yield of 9% based on the end of November share price.

The November performance was adversely impacted by the depreciation of the US Dollar against the Euro (-0.7% impact) which more than reversed the 0.4% positive contribution in October. As we have noted previously, currency exposure, principally to the US Dollar, is not intended to act as a meaningful driver of medium to long term performance. Rather, the foreign currency exposure is not fully hedged back to Euro to avoid excessive liquidity demands if hedges were to move adversely and also to limit the cash drag that arises from the need to maintain margin against open hedges. The estimated impact of currency exposures were +0.8% in 2016 and -2.5% for 2017 (as at the end of November).

In November, exposures were increased to the CLO Equity bucket as well as the Bank Balance sheet bucket. It is expected that we will continue to do so at the expense of CLO Debt positions given the significant tightening of CLO debt tranches. During the month, Volta purchased nine assets: two Euro CLO Equity positions, two Bank Balance Sheet transactions and five CLO Debt BB tranches for the equivalent of €24.3m with an average projected yield of close to 9.6% under market standard assumptions. No sales occurred in November.

At the end of November 2017, Volta's Estimated NAV was €308.1m or €8.43 per share calculated on a cum-dividend basis (i.e. before deduction of the dividend of €0.16 per share). The GAV stood at €351.3m.

In November, mark-to-market variations of Volta's asset classes were: +0.9% for Bank Balance Sheet Transactions; +0.2% for CLO Equity tranches; +1.3% for CLO Debt tranches, 0.0% for Cash Corporate Credit deals; and +0.5% for ABS.

In November, Volta generated the equivalent of €0.7m 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 €16.2m.

*It should be noted that approximately 11.4% 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 30 October 2017 for 9.9% and 29 September 2017 for 1.5% 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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