![]() ![]() 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. ![]() 8 % 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. *It should be noted that approximately 6. Our investment thesis is to be able to buy European loans at a discount in Q4 2022 at a point in time when we expect to see some pressure on European Loans: we may see some warehouse liquidations at this point (some of the warehouses opened in Q4 2021, that have been unable to transform into a CLO in due time) while the loan market will have to face a poor Q3 earning season.Īs at the end of August 2022, Volta's NAV was €233.9m or €6.39 per share. The projected IRR for this CLO Equity, incorporating the associated gain from the warehouse, is in the area of 17% IRR.įor the coming weeks, Volta will participate in one European CLO warehouse with the intention to roll into the CLO equity at issuance. For the 6 months ended July 2022, Volta received €24.8m interest and coupons representing a 21.1% annualized cash flow to NAV.ĭuring the month, Volta invested in a new CLO Equity in USD and participated in the warehouse attached to this position for a total of €2.7m equivalent. In August, Volta received the equivalent of €1.5m in terms of interest and coupons. The kind of deterioration we expect should not cause any meaningful diversion of cash flows: we expect Volta to receive full coupons from all its positions for the second half of 2022 and for 2023. With this kind of default expectation the projected yield for Volta's CLO book is slightly above 24% (based on the NAV from the current share price we have a projected yield above 30%). Our view is still that we may see more defaults materializing next year and we expect a default rates for 2023 to reach something in the area of 2% for the US, 3% for Europe. At the end of August, the same measure was at 0.7% for European loans. Knowing that the average annual historical default rate is in the area of 2.8%, we are still, for the time being, in a low default rate environment. ![]() Very near the end of August we saw a few defaults materializing in the US loan market so that last-12-month default rate went from 0.3% at the end of July to 0.6% at the end of August. Some deterioration may come regarding CLO risk metrics in the coming months (higher CCC bucket for example) but we still expect such deterioration to be smooth. ![]() When considering risk measures, August was relatively stable but when considering broader credit markets we started seeing more upgrades than downgrades. In August, CLO trustee reports are showing again that CLO managers are, on average, able to build some par, reinvesting the few prepayments in loans at discounts. In the footsteps of most markets the loan markets rallied again in August and therefore CLOs followed. Through asset classes, the monthly performances** were: +1.5% for Bank Balance Sheet transactions, +4.6% for CLO equity tranches +3.3% for CLO debt -0.9% for Cash Corporate Credit and ABS (together representing 2.3% of NAV). The fund gained +3.0%, mainly driven by CLO equity holdings. NOT FOR RELEASE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR PART, IN OR INTO THE UNITED STATESĪXA IM has published the Volta Finance Limited).įor the second consecutive month, August saw a recovery from the losses faced in Q2 2022 with the Ukrainian crisis. Volta Finance Limited (VTA / VTAS ) - August 20 2 2 monthly report ![]()
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