Valuation Update

RNS Number : 0920G

KKV Secured Loan Fund Limited

23 November 2020

 

23 November 2020

KKV Secured Loan Fund Limited

(the "Company")

LEI: 2138007S3YRY3IUU4W39

Valuation Update

Further to the announcement of 11 November 2020, the Board, AIFM and Portfolio Manager are now in a position to update the market on the anticipated level of provisions of the Company's portfolios, subject to audit, for inclusion in the annual financial statements to 30 June 2020. This has been assisted by the review of certain assets undertaken by KPMG. 

The review has been extensive and has included a reappraisal of the whole portfolio. The harder to value assets have been independently reviewed and the Portfolio Manager has made a rigorous reassessment of the approach to provisioning under IFRS 9 which is in the process of being reviewed by the auditors.  There has been considerable movement in the classification of Stage 1, 2 and 3 assets for IFRS 9 purposes and this should be noted when comparing provisions previously reported.

The net asset value as at 30 June 2020 after these provisions is currently expected to be £128.8m for the Ordinary Shares ("Revised Ordinary Share 30 June NAV") and £94.7m on the C Shares ("Revised C Share 30 June NAV").  However, the Revised Ordinary Share 30 June NAV and the Revised C Share 30 June NAV remain subject to audit and therefore it should be expected that some adjustments will be made to the NAVs once they have been reviewed by the auditors. Considerable work is still ongoing to complete the year-end report and accounts, in which the Portfolio Manager will provide a detailed report on the Company's portfolio and subsequently be available for analyst and shareholder meetings.

(£ millions)	Ordinary Shares	C Shares
Principal Balance Outstanding	341.1	129.4
Stage 1 Provisions	(2.2)	(1.4)
Stage 2 Provisions	(0.2)	(0.7)
Stage 3 Provisions	(192.5)	(41.3)
Equity/Operating Lease Fair Value adjustment	(19.1)	0.0
Other net assets/(liabilities)	1.7	8.7
Estimated unaudited NAV	128.8	94.7
Estimated unaudited NAV/Share (p)	36.2	68.2

Further details in respect of the updated provisions as at 30 June 2020 are set out below.

Ordinary Share Portfolio

Stage 1 Debt Provisioning

Included in the 30 June 2020 Ordinary Share NAV as announced on 24 July 2020 ("Ordinary Share Prior NAV"), there were 14 credit lines in stage 1 representing £97.8m of assets with a provision for fair value adjustment and impairments of £0.1m.  The number of credit lines has reduced to 12 representing £65.4m of assets with the provision increased to £2.2m for the purposes of the Revised Ordinary Share 30 June NAV.

Stage 2 Debt Provisioning

Included in the Ordinary Share Prior NAV, there were 7 credit lines in stage 2 representing £21.0m of assets with a provision for fair value adjustment and impairments of £3.0m.  The number of credit lines has reduced to 1 representing £1.2m of assets with a provision of £0.2m for the purposes of the Revised Ordinary Share 30 June NAV.

Stage 3 Debt Provisioning

Included in the Ordinary Share Prior NAV, there were 14 credit lines in stage 3 representing £195.8m of assets with a provision for fair value adjustment and impairments of £101.3m.  The number of credit lines has increased to 22 representing £254.4m of assets with the provision increased to £192.5m for the purposes of the Revised Ordinary Share 30 June NAV.

Equity and Operating Lease Write Down

Included in the Ordinary Share Prior NAV, there were 5 lines representing an original balance of £20.1m held at a fair value of £7.8m, reflecting impairments of £12.3m. The same assets are now held at a fair value of £1.0m, reflecting an increase in the impairments to £19.1m for the purposes of the Revised Ordinary Share 30 June NAV. 

Ordinary Share Summary

The total provision amount for the Ordinary Shares has increased from £116.7m to £214.1m*.

As at 30 June 2020, the cash balance held by the Ordinary Shares excluding commitments was £3.0m.

The Stage 2 and 3 assets following this review represent 74.9% of the total Ordinary Share portfolio principal balance outstanding and 48.8% of the Revised 30 June C Share NAV.

*Interest of £6.4m that had not previously been accrued in respect of certain Stage 3 assets has now been accrued within the principal balance outstanding and then provisioned against in full.

C Share Portfolio

Stage 1 Debt Provisioning

Included in the 30 June 2020 C Share NAV as announced on 24 July 2020 ("C Share Prior NAV"), there were 14 credit lines in stage 1 representing £82.7m of assets with a provision for fair value adjustment and impairments of £0.0m.  The number of credit lines has reduced to 11 representing £53.8m of assets with the provision increased to £1.4m for the purposes of the Revised C Share 30 June NAV.

Stage 2 Debt Provisioning

Included in C Share Prior NAV, there were 3 credit lines in stage 2 representing £22.6m of assets with a provision for fair value adjustment and impairments of £3.2m.  The number of credit lines have reduced to 2 representing £9.3m of assets and the provision decreased to £0.7m for the purposes of the Revised C Share 30 June NAV.

Stage 3 Debt Provisioning

Included in the C Share Prior NAV, there were 4 credit lines in stage 3 representing £23.8m of assets with a provision for fair value adjustment and impairments of £6.1m.  The number of credit lines has increased to 8 representing £66.3m of assets and provision increased to £41.3m for the purposes of the Revised C Share 30 June NAV.

C Share Summary

The total provision amount for the C Shares has increased from £9.3m to £43.3m*.

As at 30 June 2020, the cash balance held by the C Share excluding commitments was £6.0m.

The Stage 2 and 3 assets following this review represent 58.4% of the total C Share portfolio principal balance outstanding and 35.6% of the Revised C Share 30 June NAV.

*Interest of £0.4m that had not previously been accrued in respect of certain Stage 3 assets has now been accrued within the principal balance outstanding and then provisioned against in full.

This announcement is released by KKV Secured Loan Fund Limited and contains inside information for the purposes of Article 7 of the Market Abuse Regulation (EU) 596/2014 (MAR), and is disclosed in accordance with the Company's obligations under Article 17 of MAR.

For further information please contact:

KKV Investment Management Ltd Catherine Halford Riera Nicola Bird	020 7429 2200
BNP Paribas Securities Services S.C.A., Guernsey Branch Company Secretary	01481 750 853
Winterflood Investment Trusts Neil Langford	020 3100 0000

For the purposes of MAR and Article 2 of Commission Implementing Regulation (EU) 2016/1055, the person responsible for releasing this announcement is Sharon Williams, Company Secretary.

 

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