VTA Volta Finance Limited

 
TIDMVTA 
 
 
   Volta Finance Limited (VTA / VTAS) -- February 2020 monthly report 
 
   NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR 
INTO THE UNITED STATES 
 
   ***** 
 
   Guernsey, 11 March 2020 
 
   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=pV4CR44aJJa2-V9LMDHqdrVDrFKoWGAEjE-P_vrNpBWRzO_5Cj7NjdgZwLFh38xwAY2IL48ujFuJif2PJvFfAg11ihUXK0dl8hGACvdPs7M= 
www.voltafinance.com). 
 
   PERFORMANCE and PORTFOLIO ACTIVITY 
 
   In February, Volta's NAV* total return performance was -2.6%. 
 
   The monthly performances** were, in local currency: +0.8% for Bank 
Balance Sheet transactions, -3.8% for CLO Equity tranches; -2.1% for CLO 
Debt; -0.1% for Cash Corporate Credit deals; and +0.4% for ABS. 
 
   We sold two CLO debt positions (one BB and one B rated tranche) before 
the market was impacted by the spreading of the COVID-19 crisis. We also 
refrained from investing the circa EUR11m cash we received from our 
assets in January and February. 
 
   As a result of that, at the end of February cash or cash equivalents 
represent close to 10% of the NAV. 
 
   In March, performance is expected, once again, to be negative despite 
the benefits of diversification across the portfolio -- by way of 
example, the bank balance sheet transaction bucket produced a positive 
performance in February. 
 
   Beyond the current volatility we have to think about the lessons and the 
consequences from the current COVID-19 crisis for our fund: 
 
 
   -- in terms of price reaction with recent episodes of price volatility, we 
      did not see particular signs of panic or abnormal behaviour. At the time 
      of writing, BB CLO and Equity CLO tranches prices have fallen very much 
      in line with underlying loan market prices with usual betas (between 2 
      and 3); 
 
   -- In terms of market liquidity, as we would have anticipated, liquidity was 
      significantly better for US loans than for European loans. This has meant 
      that the ability of CLO managers to adapt their loan book to the current 
      situation has been far greater for US CLOs than for EUR CLOs.  This is 
      the principal reason why we have no positions in EUR CLO debt; 
 
   -- In terms of fundamentals, we were expecting 2020 to be a challenging year 
      once again for loan markets and, like 2019, we were expecting to have 
      again in the area of 2.5 downgrades for every upgrade in underlying 
      credits. With the COVID-19 crisis it could be reasonably expected that 
      even more downgrades will occur, which will place price pressures on B/B- 
      rated loans. 
 
 
   When considering the impact in terms of defaults it is important to note 
that, for many years, loans have been issued without maintenance 
covenants (cov-lite loans). Most Generally, investors have considered 
that as a weakness. We always claimed that it had at least one benefit: 
giving more time to companies to go through a temporary trough in 
activity. The current situation is one such where being "cov-lite" might 
help. 
 
   It is far too early to form a clear view on the long-term impact of the 
crisis but the clear mantra of European and the US governments is to 
take measures that will limit the spread of the virus while having the 
least possible impact on business activity. It is also very clear that 
most governments will support companies going through the crisis, for 
instance by permitting delayed tax payments. 
 
   For the moment, considering the level of uncertainty we have decided to 
refrain from investing the current cash balance. The choice we made 
several quarters ago to favour CLO Equity relative to CLO Debt and to 
reduce the repo and hence the leveraging of CLO Debt was correct. If the 
current crisis permits CLO managers to reinvest in loans at discounted 
prices or with higher spreads, we should see higher cash flows from our 
CLO Equities before suffering the possible consequences of the crisis. 
 
   One of the reasons for our preference for CLOs (relative to many other 
ABS businesses) is again playing out in our favour: loans are issued by 
wide range companies that are representative of the overall economy. 
When there is a risk we might suffer some losses (due to loan defaults 
or a very large number of downgrades), governments and central banks 
mitigate this risk because of the macro impact associated with that 
risk. It is clearly not an insurance that losses will always be avoided 
but it is a strong mitigant regarding the risk associated with our 
investments. 
 
   As at the end of February 2020, Volta's NAV was EUR273.9m or EUR7.49 per 
share. The GAV stood at EUR308.4m. 
 
   *It should be noted that approximately 11.0% 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 own NAV on as timely a basis as 
possible in order 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 6.0% as at 31 January 2020, 3.8% as at 31 December 2019 
and 1.2% as at 30 September 2019. 
 
   ** "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=EsQ-veZY17bKLN2H4jJ-DmX_7QzDb34UqA1m8TEvulhvBJnAmmL7uY5M_0H4RdkPNpfR0bvrStr9yCWICVur8GjoSj7UQJ3QmUVAPILAp0c= 
serge.demay@axa-im.com 
 
   +33 (0) 1 44 45 84 47 
 
   Company Secretary and Administrator 
 
   BNP Paribas Securities Services S.C.A, Guernsey Branch 
 
   https://www.globenewswire.com/Tracker?data=DKhJpTXjP1H8ZZov5pfsrVtGljMXL1hmViUp-IWh6OwiwM2A1UyOA4k8OI9CwUjt5HZaUPcS4v3TO509f9rvf-lj8dV0G7Cp5UFjxGSxvZXPM3f6ppycMwMBq6ht7QRH5sGJvVEq-ohjP4SeMhglSbiaXsrG9uTKptQzeL4FCnuqyzukyEM9M2FQcZEmdG1MAbTEm53m_WEE7gLCGfNVZ4Jtrz-MV_ZEalqj5Fka3-cWdSvoBl_tUzBhY5013nS-VZYQt7tcDtNd_HeVq9i_4T2YWr8RMcLQLKiwX-x_NZDfVIMMb6cUqJxiPQ06Fy8c0Dk1mj1o-k2eofbvZ06L1cMLGQqy-bDC-2odmb7ZPm__B2ywfWSFtDVnopCnc6kY 
guernsey.bp2s.volta.cosec@bnpparibas.com 
 
   +44 (0) 1481 750 853 
 
   Corporate Broker 
 
   Cenkos Securities plc 
 
   Andrew Worne 
 
   Daniel Balabanoff 
 
   Rob Naylor 
 
   +44 (0) 20 7397 8900 
 
   ***** 
 
   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. 
 
   ***** 
 
   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 739 investment professionals and EUR750 billion in assets 
under management as of the end of March 2019. 
 
   ***** 
 
   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. 
 
   ***** 
 
 
 
 
 
 

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March 11, 2020 13:15 ET (17:15 GMT)

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