Slide 1: Investor Presentation - September 2024
Investor Presentation - September 2024 HY2024 and Outlook for Springboard 2025. ABC arbitrage HY 2024 - Investor Presentation 1
Slide 2: Key topics of the presentation
Key topics of the presentation 1. What we do 2. HY2024 Market Parameters 3. HY2024 Financial Results 4. How we do it 5. Springboard 2025 plan - Situation update 6. ABC Shares & distributions ABC arbitrage HY 2024 - Investor Presentation 2
Slide 3: Who we are
Who we are Who we are ❏ One Business: Quantitative Asset Management. ❏ One Team: Enthusiastic technologists, building innovative trading systems and asset management strategies. ❏ One Trading Principle: Quantitative arbitrage on all kinds of assets. ❏ One Conviction: Investing our own Equity in our
Slide 4: 1. What we do
1. What we do ABC arbitrage HY 2024 - Investor Presentation 4
Slide 5: Our business: Trading Arbitrage
What we do Our business: Trading Arbitrage Arbitrage: Providing liquidity to the market with systematic mechanical or statistical hedging position ❑ Sophisticated trading techniques using scientific & data driven approach to generate alpha. ❑ Statistical and Event Driven strategies - focus on niche,
Slide 6: 2. Market Parameters
2. 2023 Market Parameters ABC arbitrage HY 2024 - Investor Presentation 6
Slide 7: Market parameters: Volatility - 2 years
Markets parameters Volatility - 2 years 2023 - Surprising drop in volatility despite refinancing risks and geopolitical situation “Higher for Longer” Fears ❑ Average VIX over 30 years is around 20% ❑ “No life zone” is a Vix < 15% (2019 & 2023 for instance) ❑ Realized volatility @11% (US) & 12%(EU) <
Slide 8: Market parameters: M&A and Corporate Action activity
Markets parameters M&A and Corporate Action activity Monthly existing M&A announced offers(M€) Corporate actions opportunities +10% vs 2023 & -15% vs 10y average Divided by 3 since 2014 - Divided by 1.5 since 2018 Coherent with negative rates & QE Too soon to have a change with higher rates Number o
Slide 9: Market parameters: Traded markets Volume
Markets parameters Traded markets Volume 2024 vs 2023 - 8% increase of traded market volume (Europe) But 11% decrease vs average last 10 years (source Bloomberg) ABC arbitrage HY 2024 - Investor Presentation 9
Slide 10: 3. Financial Results
3. 2023 Financial Results ABC arbitrage HY 2024 - Investor Presentation 10
Slide 11: HY2024 ABC Results Profit & Loss Breakdown
HY2024 ABC Results Profit & Loss Breakdown Change HY In million euros - IFRS FY 2022 HY 2023 FY 2023 HY 2024 2024/2023 Useful comment Investment Services Fees* 27,4 9,0 18,3 10,2 13,5% ~10% from external third party Net gains at fair value through profit or loss** 33,8 11,2 21,0 12,6 12,4% Tax and co
Slide 12: Significant correlation between ABC gross profit & Realized volatility
2023 ABC Results Moral contract fulfilled! Significant correlation between ABC gross profit & Realized volatility ABC arbitrage HY 2024 - Investor Presentation 12
Slide 13: Springboard 2025 Profit & Loss Breakdown
Springboard 2025 Profit & Loss Breakdown Comparaison to 2019 & 2023 ● Similar Market Parameters especially concerning volatility (~11% vs ~13% in 2023 & 2019) ● PAC HY2024 = +13% PAC HY2023 & ROE FY2023 = 10.6% (~ 160M€ ABCA Equity) ● PAC HY2024 = +28% PAC HY2019 & ROE FY2019 = 12.8% (~ 140M€ ABCA E
Slide 14: HR Costs Breakdown
2023 ABC Results HR Costs Breakdown ABC Team = ABC first priority = ABC first expense PNL/u Threshold HY 2024 annualised = 415K€/u Vs Target @420K€/u. Total of 17.6M€* ❑ Base cost increase = partial adaptation to HR market + new R&D people. ❑ Strong correlation between Bonuses and ABC arbitrage perf
Slide 15: Other expenses: mainly IT expenses
2023 ABC Results Other expenses: mainly IT expenses ABC arbitrage is a “French Tech” Company ! IT Costs ~ 70% of the “other costs”. Springboard 2025 +25% vs ABC 2022 ABC arbitrage HY 2024 - Investor Presentation 15
Slide 16: Historical Results & ROE
2023 ABC Results ABC arbitrage Historical Results & ROE - a success! From creation (1995) 59 consecutive half-years of strong positive results ABC arbitrage HY 2024 - Investor Presentation 16
Slide 17: 4. How we do it
4. How we do it ABC arbitrage HY 2024 - Investor Presentation 17
Slide 18: ABC Equity as a strong development tool
How we do it ABC Equity Situation ABC Equity as a strong development tool ❏ High reactivity for seed money decision. ❏ High reactivity for market allocation. ❏ Independent from ext. client situation ❏ Accumulation from ABC results (10K€ in 1995) ABC arbitrage HY 2024 - Investor Presentation 18
Slide 19: Dedicated Team for our core business
How we do it Dedicated Team for our core business 100+ people dedicated to ABC arbitrage Business ~70% - R&D + Front ~10% - Risk Management ~10% - Sales ❏ Quant Traders & Research ❏ Risk Control ❏ IT developers & IS ❏ Marketing ❏ Process Control ❏ Data analysis ❏ Investor Relations ❏ Risk Committee
Slide 20: Tech company!
How we do it Proven expertise, technological know how Tech company! Robust internally-developed 24/7 trading systems* ❏ Billions of data elements processed each year ❏ Active in almost 100 markets across the world - 24/7 ❏ Not a High Frequency Trading player but Top Tier 2 + 2bn ticks** + 300 millio
Slide 21: Focus on risk mitigation
How we do it Focus on risk mitigation Risk Mitigation Process Strict Quality Control ❑ Maximum Loss Ratio (MLR) = Compound of “every” possible risk even “opposite” risks. ❑ External incident* in Dec 2020 concerning 2016 to 2019. ❑ No significant increase in the risk budget over time but new ❑ Exclud
Slide 22: 5. Springboard 2025 plan
5. Springboard 2025 plan Situation Update ABC arbitrage HY 2024 - Investor Presentation 22
Slide 23: The ambitions of the strategic plan Springboard 2025
Springboard 2025 The ambitions of the strategic plan Springboard 2025 Springboard 2025 income targets. ➔ ROE Min > 10% => annual CNI of 16M€ based on ABC Equity as of 31/12/22. ➔ ROE Target >= 15% => annual CNI of 24M€ based on ABC Equity as of 31/12/22. ➔ Keeping predictive CNI correlated to ABC’s
Slide 24: External Third Party Assets under Management under pressure
Springboard 2025 External Third Party (ETP) - Assets under Management under pressure ❑ Pre-2010: generated through trading of our own equity. ABCA’s AuM ❑ Post-2010: opened to third party funds. Geographical breakdown ❑ Limited capacity strategies: via Managed Accounts. ❑ High Capacity strategies: v
Slide 25: ABCA Funds - AIF & Professional Investors only
Springboard 2025 ABCA Funds - AIF & Professional Investors only! ABCA Reversion Fund ABCA Opportunities Fund Quant Multi-Strategy Customised Options Short Term - Market Neutral Mean Reversion Term Structure Stat Arb/EMN, Event, Systematic Futures Futures Strategies Equity Index Futures Volatility Fu
Slide 26: ABCA Funds - Returns
Springboard 2025 ABCA Funds - 2023 Returns Target = Decorrelated & Attractive performances with low perf. volatility! 2024 2024 ABCA Opportunities 2024 Perf.Class USD Net => +5.3% (31/08) ABCA Reversion 2024 Perf. Class USD Net => +0.6% (31/08) (+7.5% for 20/09 weekly estimates) (-0.1% for 20/09 wee
Slide 27: Split of revenues between equity and third party AuM
Springboard 2025 Split of revenues between equity and third party AuM Revenues from external third party (HY) = 1M€ / 4.4% of Net Revenue. Pending Perf. Fees for HY2024 = 0. (Revenue from third party capital is historically in the 5%-20% range) ABC arbitrage HY 2024 - Investor Presentation 27
Slide 28: Decisions for 2024 Macro maturity matrix
Decisions for 2024 Macro maturity matrix MARCH 24 +3 months +6 months +12 months #Objectives for digital assets #ABC 2022 Strat => Visibility and #ABC 2022 added results expected Core Business strategies following the relaunch of improvements expected even in low volatility #Springboard 2025 Strat.
Slide 29: Next step for ABC arbitrage
Springboard 2025 ABC arbitrage Springboard 2025 NEXT STEP FOR ABC arbitrage ➔ Group Activity Pace (GAP) - Market Parameters (MP) Q3 ≃ MP HY2024 => GAP Q3 = GAP HY2024. ➔ New strategies ABC2022 & Springboard 2025 - Time to demonstrate => Target mini > 10M€/an (+3M€ for a FY Group Activity Pace vs 202
Slide 30: 6. Shares & Distributions
6. Shares & Distributions ABC arbitrage HY 2024 - Investor Presentation 30
Slide 31: Shareholders breakdown
Shares & dividends Shareholders breakdown 14% owned by Executive Top management => Alignment of interests between Shareholders and Management Team * Holding company 50,01% held by Dominique Ceolin ** Management and independent non-executive directors excluding Dominique Ceolin and David Hoey Number
Slide 32: Historical share prices
Shares & dividends Historical share prices ABCA share price with reinvested dividends and CAC mid / small GR base 100 = January 4th 2016 Compound Average Gross Rate (CAGR) = +4.9% / year over 8 years. (From 12%, decrease due to a recent share price decrease) ABCA back on the indexes! CAC All-Tradabl
Slide 33: Distribution & Share Buyback Program
Shares & dividends Distribution & Share Buyback Program FY2023 distribution = €0.30 ❏ €0.10 – Ex date 10 October 2023. A yield of ~ 7% based on a distribution of 0.30€ ❏ €0.10 – Ex date 5 December 2023. and a share price ~ 4.5€ + Volatility Call ! ❏ €0.10 – Ex date 23 April 2024. ❏ No 2023 final div
Slide 34: Disclaimer
Disclaimer This slideshow is a communication support for the investor presentation on HY2024. This document includes some forward-looking statements as statements regarding ABC arbitrage business operations. Although ABC arbitrage believes its expectations are based on reasonable assumptions, these
Slide 35: Q&A
Q&A ABC arbitrage HY 2024 - Investor Presentation 35