Abc Arbitrage Sa · EURONEXT:ABCA
Abc Arbitrage Sa — H1 2023 Earnings Presentation
40 slides from Abc Arbitrage Sa's earnings presentation, September 2023
Slide 1: Investor Presentation - September 2023
Investor Presentation - September 2023 ABC arbitrage HY 2023 - Investor Presentation 1
Slide 2: Key topics of the presentation
ABC arbitrage Key topics of the presentation 1. What we do 2. 2023 Market Parameters 3. HY 2023 Financial Results 4. How we do it 5. Springboard 2025 6. 2023 Outlook 7. ABC Shares & distributions ABC arbitrage HY 2023 - Investor Presentation 2
Slide 3: Who we are
ABC arbitrage 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
Slide 4: 1. What we do
ABC arbitrage 1. What we do ABC arbitrage HY 2023 - 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. 2023 Market Parameters
ABC arbitrage 2. 2023 Market Parameters ABC arbitrage HY 2023 - Investor Presentation 6
Slide 7: Markets parameters: Volatility - 2 years
Markets parameters Volatility - 2 years 2023 - Unexpected inactive financial market situation ! ❑ Average VIX over 30 years is around 20% ❑ “No life zone” is a Vix < 15% (2017 & 2019 for example) ❑ Realized volatility 14% (US) & 15%(EU) << average realized volat. (resp. 16% and 19% for the last 10 y
Slide 8: M&A and Corporate Action activity - Timid recovery of the M&A sector
Markets parameters M&A and Corporate Action activity - Timid recovery of the M&A sector Monthly existing M&A announced offers(B€) Corporate actions opportunities Higher than 2022 eoy but less than HY2022 & 2021. Divided by 3 since 2014 - Divided by 1.5 since 2018 HY2023 = -20% on quantity Impact of
Slide 9: Traded markets Volume for STOXX 600 EUR and US
Markets parameters Traded markets Volume for STOXX 600 EUR and US (components) Decrease 21% of EUR traded volume (€) Vs HY2022. 2023 vs 2022 - Decrease on STOXX 600 traded volumes Decrease 15% of US traded volume (quantity) Vs HY2022. ABC arbitrage HY 2023 - Investor Presentation 9
Slide 10: Specific market situation - US bank micro crisis
Markets parameters Specific market situation - US bank micro crisis Temporary 20 days and localised crash in the US banking sector! ● -26.5% on ETF US Bank sector ● -4.9% on SP500 with quick recovery ABC arbitrage HY 2023 - Investor Presentation 10
Slide 11: Specific market situation - M&A specific situation
Markets parameters Specific market situation - M&A specific situation Discount distribution First quartile Median First quartile historic. average Median historic. average Bank crisis ABC arbitrage HY 2023 - Investor Presentation 11
Slide 12: 3. HY 2023 Financial Results
ABC arbitrage 3. HY 2023 Financial Results ABC arbitrage HY 2023 - Investor Presentation 12
Slide 13: HY 2023 ABC Results Profit & Loss account
HY 2023 ABC Results Profit & Loss account S1 2021 Pro In Euro millions - IFRS S1 2020 S1 2021 forma S1 2022 S1 2023 Change 2023/2022 Useful comment ~14% from external third party Investment Services Fees* 11,7 46,6 12,0 14,9 9,0 -39,5% Net gains at fair value through profit or 33,1 -11,5 22,4 16,6 11
Slide 14: Split of revenues between equity and external third party
HY 2023 ABC Results Split of revenues between equity and external third party (ETP) AuM ➔ Revenue from third party capital is historically in the 5%-20% range. ➔ Projected 2023 Perf Fees => Total of 1.5M€ if the S1 trend continues. ➔ Projected ETP 2023 Total Fees** => 2.5 MF + 1.5 PF = 4M€ if the S1
Slide 15: HR Costs Breakdown
HY 2023 ABC Results HR Costs Breakdown ABC Team = ABC first priority = ABC first expense ❑ Base cost increase = partial adaptation to HR market + new R&D people. ❑ Strong correlation between Bonuses and ABC arbitrage performance. ❑ Targeted Equity Incentives on a long term basis. Annualised Projecti
Slide 16: Other expenses: mainly IT expenses
HY 2023 ABC Results Other expenses : mainly IT expenses ABC arbitrage is a “French Tech” Company ! IT Costs ~ 70% of the “other costs”. (and IT cost progression YoY %) Springboard 2025 +25% total estimation vs ABC 2022 total IT investment ABC arbitrage HY 2023 - Investor Presentation 16
Slide 17: 4. How we do it
ABC arbitrage 4. How we do it ABC arbitrage HY 2023 - Investor Presentation 17
Slide 18: ABC Equity as a strong development tool
How we do it ABC Equity 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 2023 - 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 ❑ Compound of “every” possible risk even “opposite” risks. ❑ No significant increase in the risk budget over time. ❑ External incident* in Dec 2020 concerning 2016 to 2019. ❑ Failover technology and counterparties i
Slide 22: 5. Springboard 2025 Evaluation
ABC arbitrage 5. Springboard 2025 Evaluation ABC arbitrage HY 2023 - Investor Presentation 22
Slide 23: Business plan 2025 scenarios - Correlated with volatility
Springboard 2025 Business plan 2025 scenarios - Correlated with volatility! One of the main objectives = to increase the minimum threshold of recurring Net Income! AUM ABC Equity ROE RNC(M€) External Third EPS DPS 2023 Party Volat eoy > > > >= > Minimum 160 10% 16 200 0.27 0.30 14/15 Average + 165 1
Slide 24: Historical Results & ROE
Springboard 2025 ABC arbitrage Historical Results & ROE - a success! From creation (1995) 29* consecutive years of strong positive results! *2023 is the 29th anniversary - The FY2023 is unknown so far but all ABC quarters have shown a significant positive result in ABC history - 2023 ROE is an annua
Slide 25: Moral contract fulfilled!
Springboard 2025 Moral contract fulfilled! Significant correlation between ABC gross profit & Realized volatility ABC arbitrage HY 2023 - Investor Presentation 25
Slide 26: External Third Party Assets under Management
Springboard 2025 External Third Party (ETP) - Assets under Management under pressure. ABCA’s AuM ❑ Pre-2010: generated through trading of our own equity. ❑ Post-2010: opened to third party funds. Geographical breakdown ❑ Limited capacity strategies: via Managed Accounts. ❑ High Capacity strategies:
Slide 27: ABCA Funds - 2023 returns
Springboard 2025 ABCA Funds - 2023 returns Annualized 31/08/2023 Volatility Performance ABCA Reversion 2023 Perf. Class USD Net => 5.45% (31/08) 2020 - BarclayHedge Recognition award for excellence - EMN Winner Reversion Net $ 6.3% 5.2% +8.6% over 12M SG SHORT-TERM TRADERS 0.5% 5.2% INDEX (USA) vs 3
Slide 28: Springboard 2025 Successes HY2023
Springboard 2025 Springboard 2025 situation after 8 months. Successes HY2023 1. Annualised ROE above the minimum scenario of 10% - OK North 2. Distribution program with the 30cts minimum - OK (to be confirm with adequate board meetings) Europe America 3. Fund performance in line with market paramete
Slide 29: 6. 2023 Outlook
ABC arbitrage 6. 2023 Outlook ABC arbitrage HY 2023 - Investor Presentation 29
Slide 30: Global Debt situation vs Back to inflation world
2023 Outlook Global Debt situation vs Back to inflation world! An economic world with contradictory pressures! Total debt amount Between 250T$-300T$ Thanks to “0% rate policy! Inflation is still high ! ABC arbitrage HY 2023 - Investor Presentation 30
Slide 31: Reference rates level - back to reality
2023 Outlook Reference rates level - back to reality! A steep increase in US & EU! FED rates evolution ECB rates evolution ABC arbitrage HY 2023 - Investor Presentation 31
Slide 32: Central Banks Balance sheets
2023 Outlook Central banks Balance sheets Central Banks Balance Sheets FED = almost -5% (01/01/2023 - 15/09/2023) ECB = almost -10% (01/01/2023 - 15/09/2023) Far away from the end of Central Banks support! ABC arbitrage HY 2023 - Investor Presentation 32
Slide 33: End of easy financing?
2023 Outlook End of easy financing ?! Future funding problems for issuers?! => Capital transactions likely to increase! Unless a perfect synchronisation between Central banks actions & Inflation situation & Companies results…not an easy path ! ABC arbitrage HY 2023 - Investor Presentation 33
Slide 34: Shares Valuation…what is the next move?
2023 Outlook Shares Valuation…what is the next move ?! PE ratio - Among the highest! Historical average = 16 Shiller ratio - Among the highest! Historical average = 15 ABC arbitrage HY 2023 - Investor Presentation 34
Slide 35: 7. Shares & Distributions
ABC arbitrage 7. Shares & Distributions ABC arbitrage HY 2023 - Investor Presentation 35
Slide 36: Shareholders breakdown
Shares & Distributions Shareholders breakdown 16% 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 Num
Slide 37: Historical share prices
Shares & Distributions Historical share prices ABCA share price with reinvested dividends and CAC mid / small GR base 100 = January 4th 2016 Compound Average Gross Rate (CAGR) = +7.2% / year over almost 8 years. (From 12%, decrease due to a recent share price decrease) Invested value ~ x2 over 8 yea
Slide 38: Distribution & Share Buyback Program
Shares & Distributions Distribution & Share Buyback Program FY2022 distribution = €0.41 ❏ €0.11 – Ex date July 2023 - 2022 final dividend ❏ €0.10 – Ex date 10 October 2023 ❏ €0.10 – Ex date 5 December 2023 ❏ €0.10 – Ex date Apr. 2024 (TBC - board decision - march 24) Buyback program ❏ €4m authorizat
Slide 39: Disclaimer
ABC arbitrage Disclaimer This slideshow is a communication support for the investor presentation on HY2023. This document includes some forward-looking statements as statements regarding ABC arbitrage business operations. Although ABC arbitrage believes its expectations are based on reasonable assum
Slide 40: Q&A
ABC arbitrage Q&A ABC arbitrage HY 2023 - Investor Presentation 40