VTA Volta Finance Limited

 
TIDMVTA 
 
 
   Volta Finance Limited (VTA / VTAS) -- March 2020 monthly report 
 
   NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR 
INTO THE UNITED STATES 
 
   ***** 
 
   Guernsey, 14 April 2020 
 
   AXA IM has published the Volta Finance Limited (the "Company" or "Volta 
Finance" or "Volta") monthly report for March. The full report is 
attached to this release and will be available on Volta's website 
shortly ( 
https://www.globenewswire.com/Tracker?data=hyLx2_S1GMgkt-9-8anunAFljH04cz0-sGo1AfsgNYDijh0yZzs3P0OkbAtuf0zutzNCn2IHYAqbh3WtwMAz-kIJJGVaQP0wXfuSd8s368c= 
www.voltafinance.com). 
 
   PERFORMANCE and PORTFOLIO ACTIVITY 
 
   In March, the impact of the COVID-19 crisis was very material on Volta, 
with the Company's NAV* falling by -32.4%. 
 
   The monthly performance** in local currency was: -4.5% for Bank Balance 
Sheet transactions, -36.9% for CLO Equity tranches; -41.3% for CLO Debt; 
+0.1% for Cash Corporate Credit deals (this bucket comprises funds that 
have one-month delay in publishing their NAV); and -11.9% for ABS. 
 
   Considering the above market reactions, the strategy that was in place 
for several quarters already to prefer CLO equity positions instead of 
leveraging CLO debt tranches permitted avoiding an even larger impact 
from the pandemic. 
 
   At the end of the month, average prices for CLO Equity tranches were 
43.6% and 28.9% respectively for USD and Euro positions, 54.3% for USD 
CLO debt (Volta does not hold Euro CLO debt). 
 
   These prices incorporate what we consider as a highly probable 
assumption that some CLO Equity positions will start suffering partial 
diversion of cash flows as early as July and that this might become more 
pronounced in October due to the likely increase of the excess CCC 
bucket in CLOs. 
 
   The lower average price for EUR CLO Equity relative to USD CLO Equity is, 
we believe, the reflection of lower liquidity and risk appetite in 
Europe than in the US for this type of assets, as the industries of 
bigger concern like energy and gaming have significant lower weightings 
in Europe than in the US. 
 
   As mentioned in our interim communication on 24(th) March, our first 
priority was to secure Volta's balance sheet. A number of positions had 
been sold prior to the crisis but an additional four positions were sold 
(three CLO Debt and one ABS) for a total of EUR9.7m to face margin calls 
from currency hedging and amounts drawn from previous investments. 
These positions generated a loss of EUR4.9m (0.13 cents per share) 
relative to the end February valuation.  We also reduced significantly 
the amount of currency hedging to avoid margin calls and, at the end of 
March, Volta had almost enough cash to fully close its repurchase 
agreement. April is a month with large cashflows from our assets. We 
expect this to result in a comfortable net cash cushion following the 
repo repayment. 
 
   As announced on 2(nd) April, the decision was taken to cancel the 
dividend due for payment at the end of April. This was a precautionary 
measure to ensure adequate cash resources given the uncertainty around 
the cash flow receipts in April.  However, both the Board of Volta and 
AXA IM are committed to reinstituting dividend payments as soon as 
possible. 
 
   As at the end of March 2020, Volta's NAV was EUR185.1m or EUR5.06 per 
share (including EUR9m in cash). The GAV stood at EUR197.1m with nearly 
EUR12m liabilities, principally being the repo which is expected to be 
repaid by the end of April. 
 
   Regarding longer term performance, it is, as yet, too early to say with 
certainty how this crisis will impact Volta's cash flows and NAV. 
However, it is reasonable to expect that: 
 
 
   -- Rating agencies will continue to downgrade underlying loans so that the 
      CCC bucket in the underlying loan portfolios will on average exceed the 
      typical 7,5% authorized level. Our view is that the CCC buckets, on 
      average, might reach c. 15% on average in the CLO underlying leveraged 
      loan market. Depending on realized losses and loans in default, such 
      levels would trigger diversion of payments due to CLO Equity. In 2009 
      Volta faced a similar situation and, in that period, Volta's portfolio 
      outperformed significantly the average market. We will keep you informed 
      about how Volta's positions are performing relative to market. 
 
   -- Most rating agencies/economic researchers envisage that the COVID-19 
      crisis might cause defaults in high yield corporate names to rise to 
      around 10% (not accounting for the recession impact), in line with the 
      Global Financial Crisis, 12 years ago. One of the differences though 
      should be the pace at which defaults will occur. During the GFC we had, 
      in the US, a spike of defaults in 2009 and then almost a normal situation 
      in 2010. This time, as the vast majority of loans are covenant light, 
      companies are not pushed into default rapidly and have more time to 
      survive the EBITDA reductions that the COVID-19 crisis is causing. Adding 
      to that the massive governmental and central bank support that is being 
      implemented the pattern regarding defaults might be significantly 
      different from the GFC with a few years of above average default rates 
      but without a brutal 2009-like spike. Should the covenant-lite issuers be 
      kept alive (though with very high leverage), the resulting default 
      pattern from all those actions would be better for CLO Equity positions 
      and for Volta as it gives more time for reinvestments at discount (inside 
      and outside CLOs). 
 
 
   *It should be noted that approximately 15.5% 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 9.0% as at 29 February 2020, 4.3% as at 31 December 2019 
and 2.2% 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=gCbIiIb2PkGLeiOzarfbNR_htxtbyz8QBwd7hluppVOiFrfjg2RK2LN_uuUrmBKcbQN9RR87eSGHMtfMq5_hd3QFs4w5Rre7wCSRCrWvE98= 
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=wvmDnwA76nMBghajwivDRy5kkpvMmBqlugBxUEtvMS3npJ-5L0ZaksZeZnSp6dZtrM1LQ1cC_emsUq4qDP4uSLLQHyiOYRR9kunUZrCzAw1xqi0wQyjfY92KWGtCnPaYg2NgWGB5tINdWypRjqNnDoYbd63S10iLoP4s2M4X73amEuHIvGSXwia0cOMV6ayWKpyAy6r-_ji-jwOdqBWT3tcX0PtcuJnM6Osw9LOHItij12kNzwh_1aIyfCs-562TcXviLeEbvpAeBxyOotMieqDt-r8QGaaUuQWGIJhdsIrLkW9OjuLXAZxaCbIfXAZvKPtdgnUJxkAh7L4Kwa7pafivW-KLA4ljasRJU6aw31EmGpeA3IgGbTF9851ZuKDk 
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. 
 
   ***** 
 
   Attachment 
 
 
   -- March 2020 Monthly Press Release final 
      https://ml-eu.globenewswire.com/Resource/Download/70a5fe1b-c891-4aca-8208-41b6db031ddf 
 
 
 
 
 
 
 

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April 14, 2020 12:00 ET (16:00 GMT)

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