Volta Finance Ld Volta Finance Limited - Net Asset Value As At 28 February 2021

 
TIDMVTA 
 
 
   Volta Finance Limited (VTA / VTAS) -- February 2021 monthly report 
 
   NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR PART, IN OR 
INTO THE UNITED STATES 
 
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   Guernsey, 11 March 2021 
 
   AXA IM has published the Volta Finance Limited (the "Company" or "Volta 
Finance" or "Volta") monthly report for February. The full report is 
attached to this release and will be available on Volta's website 
shortly ( 
https://www.globenewswire.com/Tracker?data=c24DlqSF1H5OE20GpJ_sKzyO-ini0GBVs83oVJiLVLScHyQcsgTPiwvY9c4Cj5mEex_lXxL7Nr0zemKdoJRnOQp4JVhlyx9f8H73uRz3Jso= 
www.voltafinance.com). 
 
   PERFORMANCE and PORTFOLIO ACTIVITY 
 
   Volta has continued to perform well with +1.0% in February, following 
+3.9% in January. This is despite headwinds in equity and public credit 
markets which were hesitating in front of growing uncertainty regarding 
the appropriate level for mid to long-term yields. As Volta is 
predominantly invested in floating rate instruments, the negative impact 
of rising long-term rates was largely avoided. 
 
   The monthly asset class performances** were: -0.7% for Bank Balance 
Sheet transactions, +1.5% for CLO equity tranches; +0.6% for CLO debt; 
+16.7% for Cash Corporate Credit deals (this bucket comprises funds that 
have a one-month delay in publishing their NAV); and 0.0% for ABS. The 
strong performance of the Cash Corporate Credit bucket reflects a sharp 
upwards revision to the valuation of illiquid and credit-sensitive 
positions in one US loan fund in which Volta has been invested since 
2006. The main driver for this outperformance is the sharp monetary and 
fiscal stimuli currently in place in the US. However, the impact was not 
material for Volta as this bucket represents only 2% of Volta's NAV. 
 
   In terms of fundamentals, in February, trailing-12-month defaults rates 
declined in loan markets (for the 4(th) consecutive month). As at the 
end of February default rates were 3.2% and 2.1% respectively for US and 
European loans, way below the 13% and 10% rates that were originally 
forecasted by rating agencies for Q1 2021 when trying to measure the 
consequences of the Covid-19 crisis back in Q2 2020. Defaults are 
expected to continue materializing in loan markets through 2021 and 2022 
but at a pace (probably between 2 and 4%) that is manageable for CLOs 
and should not trigger any cash flow diversions from the CLO equity 
positions held by the company. 
 
   A major theme for Volta in 2021, will be the refinancing (where only the 
most senior debt tranches are called to be re-issued at lower spread) or 
reset (where all the debt tranches are called and re-issued and the deal 
is extended) of several CLO positions. When looking across all our CLO 
Equity positions (circa 65% of the assets including the CMV), roughly 
two-thirds of the related CLOs are good candidates for refi/reset. The 
resultant gain to the equity tranche and thus Volta could be 
substantial. We estimate that these operations may lead to extra capital 
payments that may represent 1.5 to 2% of Volta's NAV per annum and the 
projected return of Volta's overall portfolio may increase accordingly 
by 1 to 1.5% per annum. We are already working on one refi and one reset 
and we anticipate more to come along during the year. 
 
   In terms of cash flows, February is structurally a weak month for Volta. 
Interest and coupons received totaled the equivalent of EUR1.3m. On a 
6-month rolling basis, Volta received the equivalent of EUR20.6m at the 
end of February (an increase of EUR0.2m since the end of January), 
representing a 16.1% annualised cash flow yield, based on the end 
February NAV. We expect overall cash flows to continue to increase in 
the coming months/quarters. 
 
   In February we purchased one US CLO equity position in the secondary 
market for a total of EUR1.9m. On average and under standard assumptions, 
the projected yield for this purchase was close to 14% (not including 
potential upside in case of refi/reset). 
 
   This combination of advantageous factors for our CLO Equity positions, 
which account now for a total of 65% of the NAV means that the outlook 
for 2021 and beyond is favorable for Volta.  We are still optimistic 
that the NAV can reach EUR7.50 per share in the medium term. This, 
combined with an estimated dividend close to 8% of NAV represents an 
attractive return stream, especially when considering the discount to 
NAV at which the shares are still trading. 
 
   As at the end of February 2021, Volta's NAV was EUR256.1m or EUR7.00 per 
share. 
 
   The month-end cash position was EUR8.6m. 
 
   *It should be noted that approximately 10.3% 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 notes. The most recently available fund NAV or quoted price 
was for 9.1% as at 31 January 2021, 0.1% as at 31 December 2020 and 1.1% 
as at 30 September 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. 
 
   CONTACTS 
 
   For the Investment Manager 
 
   AXA Investment Managers Paris 
 
   Serge Demay 
 
   https://www.globenewswire.com/Tracker?data=-rqpkDbVDUCadzXz-gi5aE_VKfSEhdwQcs9EnnEezoAn_l9Tz85n-8v-Fc9YsDI_a7Gmg9zFMcBxCAekBCG-1Xcp41AySpyzv4IG40u1xwI= 
[e-mail] 
 
   [phone] 
 
   Company Secretary and Administrator 
 
   BNP Paribas Securities Services S.C.A, Guernsey Branch 
 
   https://www.globenewswire.com/Tracker?data=Jq_uLNOYRFuAKK1-1V1PWrNDNOuyTV9aLLGPAZYQbKo1iogCjh6t9ObVhJTHIew2KuyNXPiK981_FHXSRQs-Fexk9FdiOFlQmX4tZjc2N6N6W-n_3Ew6zFFOxKNZiLsXg-eKKlXEFsbOlg5BFfTvLazsb6VeVJH9AyUtuT2ekvyCOABp1ZLBWy2JHHHL4ncy9qaVB6ViOvupOrioDaI8ZkgML4yoUdZ2ik7oaQcEO_Yhs0B0R5vV5_47xt-Q70uqlUPvSVBgyTk_Q9XVHMoerV2Me7QcydP-3OZK9ZCyiaolhG_Ze1ir_oN8_3Uj_X6xlWDE9N4v7hkmHxAOCxBpTtFkUXTK5H9XYSsJG9B5lkQwiOK7gqoNQoYPZxwHzpfM 
[e-mail] 
 
   [phone] 
 
   Corporate Broker 
 
   Cenkos Securities plc 
 
   Andrew Worne 
 
   Daniel Balabanoff 
 
   Will Talkington 
 
   [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 EUR858 billion in assets 
under management as of the end of December 2020. 
 
   ***** 
 
   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. 
 
   ***** 
 
   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. 
 
   ***** 
 
   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. 
 
   ***** 
 
   Attachment 
 
 
   -- Volta - Monthly Report - February 2021 
      https://ml-eu.globenewswire.com/Resource/Download/3cac4cab-ac5f-4969-9896-87e826cf3e2c 
 
 
 
 
 
 
 

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March 11, 2021 12:00 ET (17:00 GMT)

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