Volta Finance Ld Volta Finance Limited : Net Asset Value(s) As At 31 August 2020

 
TIDMVTA 
 
 
   Volta Finance Limited (VTA / VTAS) -- August 2020 monthly report 
 
   NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR PART, IN OR 
INTO THE UNITED STATES 
 
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   Guernsey, 10 September 2020 
 
   AXA IM has published the Volta Finance Limited (the "Company" or "Volta 
Finance" or "Volta") monthly report for August. The full report is 
attached to this release and will be available on Volta's website 
shortly ( 
https://www.globenewswire.com/Tracker?data=HPfukPJQVbEe4Y4zKRzg5OZ2uHUOqsM-bVk23mNko0C8zhp_f_DiysFDebDJsLLaf63KS9VSl3qRmDsGCVTuc9SHLv1tJOl8EAFMErSpuWQ= 
www.voltafinance.com). 
 
   PERFORMANCE and PORTFOLIO ACTIVITY 
 
   In August, the monthly performance of Volta is +1.9%. The performance 
may have been even higher but for USD weakness which had a negative 
impact close to -0.6%. The USD depreciated against EUR by 1.3% during 
the month while, after adjusting for hedging, Volta has a USD exposure 
of approximately 47%. 
 
   The monthly asset class performances** were in local currency: +0.3% for 
Bank Balance Sheet transactions, +3.5% for CLO Equity tranches; +2.9% 
for CLO Debt; +5.9% for Cash Corporate Credit deals (this bucket 
comprises funds that have a one-month delay in publishing their NAV); 
and +0.3% for ABS. 
 
   Now that all Q3 payments to our CLO equity positions have been made, we 
can confirm that all Volta's equity positions received their coupon 
payments with one minor exception -- a very old position that breached 
its Interest Diversion test now that all the AAA and most of the AA 
tranches amortized. 
 
   For comparison, Wells Fargo reported*** that 24% of USD CLOs were 
suffering a breach of the Interest Diversion test at the end of July, 
leading to a diversion of cash flow from the equity position. 
 
   Equally encouraging, the August trustee reports show that for most of 
our positions, CLO managers were able to improve cushions on 
reinvestment tests and OC tests. We expect all our positions to receive 
their full payment in October (except for the very old one noted above). 
Payments in October are expected to be higher than in July as the 
technical reductions that led to lower cash flows in Q3 will partially 
reverse as there will be no further negative impact from interest rate 
declines and we will receive full payments on the European loans that 
elected in Q2 to switch to a 6-month Euribor basis. 
 
   In August, Volta received the equivalent of EUR1m in terms of Interest 
or Coupons from its assets. On a 6-month rolling basis, Volta received 
the equivalent of EUR17.0m as at the end of August. It is still 
representing a 16% annualised yield based on the end of August NAV. 
 
   Looking further into the future, our view is still that although default 
rates in both loan markets (US and Europe) are expected to increase, we 
expect them to increase slowly. In such a context, full payment of cash 
flows to our CLO Equity positions is expected to stay the norm. Although 
the COVID crisis had an economic impact that is roughly twice more 
severe than the consequences of the Sub-prime crisis and the GFC, the 
impact on CLO equity and CLO debt is expected to be much more reduced, 
thanks to a delay in default occurrences. 
 
   We observed, in August, a significant tightening in USD CLO senior 
tranche spreads (Europe was lagging). Our view is that it was the first 
sign of what we expect on a more long term basis: CLO senior tranches 
are gaining traction amongst investors and even if it is too early to 
figure out when it might happen, we are more and more confident that at 
some point in time we might have the opportunity to refinance or reset 
some of Volta positions to benefit from a better arbitrage in favor of 
our CLO equity positions. USD CLO AAA tranches were issued at 
Libor+130/135bps spread before the COVID crisis and we are now almost 
back to these levels. 
 
   Regarding the CLO warehouse held by Volta, we entered discussions with 
the arranging bank to transform this position into an actual CLO, 
targeting pricing by the end of September. 
 
   As at the end of August 2020, Volta's NAV was EUR212.1m or EUR5.80 per 
share. 
 
   The month-end available cash position was EUR8.9m leaving some room for 
investments. 
 
   *It should be noted that approximately 10.6% 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. 
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. Consequently, such investments are valued using the most 
recently available NAV for each fund or quoted price for such 
subordinated note. The most recently available fund NAV or quoted price 
was for 4.6% as at 31 July 2020 and 6.0% as at 30 June 2020. 
 
   ** "performances" of asset classes are calculated as the 
Dietz-performance of the assets in each bucket, taking into account the 
Mark-to-Market of the assets at period ends, 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. 
 
   *** "CLO: This Week Down in the OC" -- Wells Fargo Research, August 2020 
 
   CONTACTS 
 
   For the Investment Manager 
 
   AXA Investment Managers Paris 
 
   Serge Demay 
 
   https://www.globenewswire.com/Tracker?data=ZSrHhkBGBWJWa_m9MxAfsAaTJxqucIHFaWWQ0L5wB-MEObd-0KiVo2uBA0QQZnRnhmxfznOqjHLWNhtxnzDh8JGy9-MrjdYGAE1LUTLgFSo= 
[e-mail] 
 
   [phone] 
 
   Company Secretary and Administrator 
 
   BNP Paribas Securities Services S.C.A, Guernsey Branch 
 
   https://www.globenewswire.com/Tracker?data=0eW3p8zY9k9cwxiIg0Z26-25LV0mD_IbJtfkpb44ZGgCyz0JNTh4WkZhy9ghp6_Gml6trIsDS1ZnqzztMk6Iab2-Rkny6nXadrPi2dgwlmpsLD6AMcSg1o3Z_eEdZz3T1yHr2-fs8NbaKwzWfi1DGrvfue7mXnGZGSH4GE-ipj5xgXm-7_xleRlwgMLgbBRBTP3Q3f1oncmwif_7XTtMggTSFCJKFRdaDeSORFJ3UA8tNBFFQ29M57jB6L6YomjEZY_n0xflI5k4OFLXlgX2FxK9wY1O4nV7Ehb3A6CGm-2JT-d2KIPpQFjWZQZsy2TI6XcecrnRcMfIZwZPykWkAAWmYWbvhGCsjYdTBsXspNwDBvgS2B-U4Pua9EOO-Ic5 
[e-mail] 
 
   [phone] 
 
   Corporate Broker 
 
   Cenkos Securities plc 
 
   Andrew Worne 
 
   Daniel Balabanoff 
 
   Rob Naylor 
 
   [phone] 
 
   ***** 
 
   ABOUT VOLTA FINANCE LIMITED 
 
   Volta Finance Limited is incorporated in Guernsey under The Companies 
(Guernsey) Law, 2008 (as amended) and listed on Euronext Amsterdam and 
the London Stock Exchange's Main Market for listed securities. Volta's 
home member state for the purposes of the EU Transparency Directive is 
the Netherlands. As such, Volta is subject to regulation and supervision 
by the AFM, being the regulator for financial markets in the 
Netherlands. 
 
   Volta's investment objectives are to preserve capital across the credit 
cycle and to provide a stable stream of income to its shareholders 
through dividends. Volta seeks to attain its investment objectives 
predominantly through diversified investments in structured finance 
assets. The assets that the Company may invest in either directly or 
indirectly include, but are not limited to: corporate credits; sovereign 
and quasi-sovereign debt; residential mortgage loans; and, automobile 
loans. The Company's approach to investment is through vehicles and 
arrangements that essentially provide leveraged exposure to portfolios 
of such underlying assets. The Company has appointed AXA Investment 
Managers Paris an investment management company with a division 
specialised in structured credit, for the investment management of all 
its assets. 
 
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   ABOUT AXA INVESTMENT MANAGERS 
 
   AXA Investment Managers (AXA IM) is a multi-expert asset management 
company within the AXA Group, a global leader in financial protection 
and wealth management. AXA IM is one of the largest European-based asset 
managers with 753 investment professionals and EUR801 billion in assets 
under management as of the end of April 2020. 
 
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   This press release is published by AXA Investment Managers Paris ("AXA 
IM"), in its capacity as alternative investment fund manager (within the 
meaning of Directive 2011/61/EU, the "AIFM Directive") of Volta Finance 
Limited (the "Volta Finance") whose portfolio is managed by AXA IM. 
 
   This press release is for information only and does not constitute an 
invitation or inducement to acquire shares in Volta Finance. Its 
circulation may be prohibited in certain jurisdictions and no recipient 
may circulate copies of this document in breach of such limitations or 
restrictions. This document is not an offer for sale of the securities 
referred to herein in the United States or to persons who are "U.S. 
persons" for purposes of Regulation S under the U.S. Securities Act of 
1933, as amended (the "Securities Act"), or otherwise in circumstances 
where such offer would be restricted by applicable law. Such securities 
may not be sold in the United States absent registration or an exemption 
from registration from the Securities Act. Volta Finance does not intend 
to register any portion of the offer of such securities in the United 
States or to conduct a public offering of such securities in the United 
States. 
 
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   This communication is only being distributed to and is only directed at 
(i) persons who are outside the United Kingdom or (ii) investment 
professionals falling within Article 19(5) of the Financial Services and 
Markets Act 2000 (Financial Promotion) Order 2005 (the "Order") or (iii) 
high net worth companies, and other persons to whom it may lawfully be 
communicated, falling within Article 49(2)(a) to (d) of the Order (all 
such persons together being referred to as "relevant persons"). The 
securities referred to herein are only available to, and any invitation, 
offer or agreement to subscribe, purchase or otherwise acquire such 
securities will be engaged in only with, relevant persons. Any person 

who is not a relevant person should not act or rely on this document or 
any of its contents. Past performance cannot be relied on as a guide to 
future performance. 
 
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   This press release contains statements that are, or may deemed to be, 
"forward-looking statements". These forward-looking statements can be 
identified by the use of forward-looking terminology, including the 
terms "believes", "anticipated", "expects", "intends", "is/are expected", 
"may", "will" or "should". They include the statements regarding the 
level of the dividend, the current market context and its impact on the 
long-term return of Volta Finance's investments. By their nature, 
forward-looking statements involve risks and uncertainties and readers 
are cautioned that any such forward-looking statements are not 
guarantees of future performance. Volta Finance's actual results, 
portfolio composition and performance may differ materially from the 
impression created by the forward-looking statements. AXA IM does not 
undertake any obligation to publicly update or revise forward-looking 
statements. 
 
   Any target information is based on certain assumptions as to future 
events which may not prove to be realised. Due to the uncertainty 
surrounding these future events, the targets are not intended to be and 
should not be regarded as profits or earnings or any other type of 
forecasts. There can be no assurance that any of these targets will be 
achieved. In addition, no assurance can be given that the investment 
objective will be achieved. 
 
   The figures provided that relate to past months or years and past 
performance cannot be relied on as a guide to future performance or 
construed as a reliable indicator as to future performance. Throughout 
this review, the citation of specific trades or strategies is intended 
to illustrate some of the investment methodologies and philosophies of 
Volta Finance, as implemented by AXA IM. The historical success or AXA 
IM's belief in the future success, of any of these trades or strategies 
is not indicative of, and has no bearing on, future results. 
 
   The valuation of financial assets can vary significantly from the prices 
that the AXA IM could obtain if it sought to liquidate the positions on 
behalf of the Volta Finance due to market conditions and general 
economic environment. Such valuations do not constitute a fairness or 
similar opinion and should not be regarded as such. 
 
   Editor: AXA INVESTMENT MANAGERS PARIS, a company incorporated under the 
laws of France, having its registered office located at Tour Majunga, 6, 
Place de la Pyramide - 92800 Puteaux. AXA IMP is authorized by the 
Autorité des Marchés Financiers under registration number 
GP92008 as an alternative investment fund manager within the meaning of 
the AIFM Directive. 
 
   ***** 
 
 
 
 

(END) Dow Jones Newswires

September 10, 2020 12:00 ET (16:00 GMT)

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