VTA Volta Finance Limited

 
TIDMVTA 
 
 
   Volta Finance Limited (VTA / VTAS) -- May 2020 monthly report 
 
   NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR PART, IN OR 
INTO THE UNITED STATES 
 
   ***** 
 
   Guernsey, 15 July 2020 
 
   AXA IM has published the Volta Finance Limited (the "Company" or "Volta 
Finance" or "Volta") monthly report for May. The full report is attached 
to this release and will be available on Volta's website shortly ( 
https://www.globenewswire.com/Tracker?data=606RqWVwYs0M_hVtIIaXgEdJP4V5623FOxuRinGspfRSF-RoPK6c995i_CXjaoCeGT0pqT6eat3MuqvfYJFBxxCGm3rWmCBQsoE5AEz6rWg= 
www.voltafinance.com). 
 
   The following amendments have been made to the Net Asset Value as at 31 
May 2020 announcement released on 10 June 2020 at 17:00:00hrs (BST), to 
subtract from the Net Asset Value the first interim dividend of EUR0.10 
per share declared by the Company as the ex-dividend date was 21 May 
2020. 
 
   Volta's NAV as at the end of May 2020 has been adjusted from EUR204.6m 
to EUR200.9m and the NAV per share from EUR5.59 to EUR5.49. 
 
   The full amended text is shown below. 
 
   PERFORMANCE and PORTFOLIO ACTIVITY 
 
   May was the second month of good performance after April, helping 
further to recover the mark-to-market impact of the COVID-19 pandemic. 
Volta's NAV* total return performance in May was +4.5%. 
 
   The monthly performances** were, in local currency: +1.9% for Bank 
Balance Sheet transactions, +5.7% for CLO Equity tranches; +5.8% for CLO 
Debt; -3.5% for Cash Corporate Credit deals (this bucket compromises of 
funds that have a one-month delay in publishing their NAV); and +0.8% 
for ABS. 
 
   At the end of the month, the average price for CLO Equity tranches was 
42.6% and 38.3% respectively for USD and Euro positions, 63.2% for USD 
CLO debt (only one new Euro CLO debt position was purchased in the 
secondary market in May). 
 
   Even though almost all market participants revised downward the impact 
of the COVID 19 crisis in terms of the outlook for default for loans and 
high yield markets, prices for our holdings are still very depressed. We 
believe that there is more to come in terms of price appreciation. For 
example, the pricing of new CLO BB tranches tightened by almost 150bp 
between the last days of May and the time of writing this commentary. 
 
   Concerning defaults, at the end of May, the Last-12-Month default rate 
is close to 3.5% for US loans and slightly below 2% for European loans. 
Expectations for the end of 2020 are in the area of 5% for the U.S. and 
3.5% for Europe (far lower than levels feared only a few weeks ago when 
some investors expected rates close to 10%). 
 
   In the same vein we are accumulating, day after day, evidence that the 
most active/solid CLO managers can re-arrange their books, sometimes 
being able to reduce the CCC bucket without any significant cost in 
terms of subordination (as measured by CLO Over Collateralization 
tests). Using May trustee reports as a reference, close to 20% of US 
CLOs were breaching their reinvestment test (the test that causes a 
partial diversion of the cash flow due to the equity tranche).  None of 
the USD CLO Equity positions held in Volta were breaching such tests. 
 
   Volta resumed investing in May through the purchase of EUR3m nominal of 
a newly issued Euro BB CLO tranche. This tranche was purchased at 90% of 
par with a DM at 911bps. With a coupon formula at Euribor +725bps and 
when considering where the most recent Euro BB tranches have been priced, 
it is probably already trading close to par. 
 
   As at the end of May 2020, Volta's NAV was EUR200.9m or EUR5.49 per 
share. The Company will pay a 10 cents dividend per share to 
shareholders on 16(th) June. 
 
   The month-end cash position was EUR10.7m. Considering the payment of the 
dividend and the necessity to maintain a working capital balance to 
cover potential margin calls from currency hedging positions and further 
capital calls from pre-existing investments, Volta is almost fully 
invested. 
 
   Regarding the medium to long term performance outlook, the most recent 
weeks have confirmed to us that we might have a pace of defaults that is 
almost compatible with the maintenance of full payments for Volta's CLO 
Equity position. It may be that some of our deals suffer from time to 
time some partial diversion of cash flows but, it is now expected to be 
the exception rather than the norm and highly attractive returns should 
be derived from the current portfolio in due course. 
 
   *It should be noted that approximately 11.8% 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 6.2% as at 30 April 2020, 5.6% as at 31 March 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=a9psrypcUqpSulxWVBivuKV7JuuV5_PbH7IO-_1xe6MCnlbB8lhdEG4iq-y7DCfmEbYPsNds_R19IE3OJIKoqPq29Ud_rIlBy68g1M-7ZXI= 
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=Pk3TYr1976DCkCn6ARkq-cqSWJ07VXOgI_MMJ6XviC1bMdL3Ffgl0zYeAUx7MDJRH3SUqUbo86EsMEmQi0QM2RCWThy7M-HxAMCXXOukFkNw7fRMJm_JNLMkcvW8N9tuwGDFmgCrfgPkyw5M8QZdhxCyzVCSxPSMWDeAjyJcKIJv9e6xDTK6HNDzqAVF2GT9tInntzgLvwNH-HzLPurQdMwTMmCy6kmY56CQ8hpRQlfSBOz86o5lQ-TpgFL6sJHvnADgQ-poYmzxJlIyeV7r-iKpgsPDFOfO28ffYuKDciwOzqRqZmvuQSsd2Bw-9VdGU5vrW8OXh_by-BhX7CxXR-tMl5GZVwe6fZHnbGKDO53xztk8K9z5O3257WGsDsVg 
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 753 investment professionals and EUR801 billion in assets 
under management as of the end of April 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. 
 
   ***** 
 
 
 
 

(END) Dow Jones Newswires

July 15, 2020 12:00 ET (16:00 GMT)

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