VTA Volta Finance Limited

 
TIDMVTA 
 
 
   Volta Finance Limited (VTA / VTAS) -- July 2020 monthly report 
 
   NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR PART, IN OR 
INTO THE UNITED STATES 
 
   ***** 
 
   Guernsey, 12 August 2020 
 
   AXA IM has published the Volta Finance Limited (the "Company" or "Volta 
Finance" or "Volta") monthly report for July. The full report is 
attached to this release and will be available on Volta's website 
shortly ( 
https://www.globenewswire.com/Tracker?data=5B-mLLd_9djZMbDLJjKhQgyXM4I4fgKRYDL7mYuleAHfHcD3VzgYY8-UHm6VPgDdE2oXAwyNH1mRdwXXQJ6_CFmYUhjW6F0jJlABOzEJeVQ= 
www.voltafinance.com). 
 
   PERFORMANCE and PORTFOLIO ACTIVITY 
 
   In July the monthly performance, after considering the 11 cents per 
share dividend paid 29(th) of July, is negative at -1.2%. Despite a flat 
performance at the asset class level, USD weakness had a negative impact 
as USD depreciated against EUR by 4.6% during the month while, after 
adjusting for hedging, Volta has a USD exposure close to 45%. 
 
   The monthly asset class performances** were, in local currency: -0.3% 
for Bank Balance Sheet transactions, +1.1% for CLO Equity tranches; 
-0.5% 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 +1.7% for ABS. 
 
   In July, like the first month of every quarter, most of the CLO 
positions received their coupon payments. However, according to 
WellsFargo research, 24% of USD CLOs were suffering a breach of the 
Interest Diversion test as at the end of the month. Only one USD CLO 
position in Volta did not receive any cash flows (due to an IC test 
(Interest Coverage) breach). This position is a 2013 vintage position, 
the full AAA tranche has been amortized and the AA tranche will finish 
being amortized in October so that it is almost normal that cash flows 
from this position are close to zero. In normal market conditions, this 
position would have been called. We are working with the CLO manager to 
find a way/the timing for a partial call. 
 
   Except for this position, all CLO Equity and CLO debt held by Volta paid 
their coupons. However, it should be noted that CLO Equity payments were 
on average 30% lower than in April due to two technical effects: 
firstly, lower short-term rates in the US, an impact that was beginning 
to be seen in January and April.  If and when rates go up, we will 
benefit from the opposite technical effect.  Secondly, since April, 
roughly 40% of the European loans elected to pay their coupon on a 
6-month basis instead of the classic 3-month basis.  This effect will 
unwind with higher cash flows in October. 
 
   As a result, in July, Volta received "only" the equivalent of EUR3.9m 
from its CLO Equity positions, relative to EUR5.7m in April. The decline 
is almost evenly split between the two technical effects so that October 
cash flows are expected to be roughly EUR1m higher. On a 6-month basis, 
Volta received the equivalent of EUR17.7m as at the end of July. 
Nonetheless, this represents a solid 17% annualised yield based on the 
end of July NAV, despite the previously mentioned technical impacts. 
 
   On a longer-term basis, CLO managers are, on average, improving CLO 
portfolios to limit the impact of the COVID-19 pandemic. According to 
Nomura research, in April, 19% of USD CLOs were breaching their BB OC 
test (the Overcollateralization test that protects the BB tranche), in 
July this figure was down to 11% although USD loans continued to be 
downgraded and some defaults started to materialize. None of the USD CLO 
positions in Volta suffered a diversion of cash flow due to a BB OC test 
breach in April nor in July. 
 
   We reiterate our view that going forward, as long as there is no second 
wave requiring significant lockdowns of the economy, full cash flow 
payments should be the norm for Volta's portfolio as CLO managers are 
regaining some cushion on the OC tests. 
 
   On the most senior CLO debt tranches, spreads continued to tighten so 
that we can envisage transforming the CLO warehouse presently held by 
Volta into an actual CLO. Probably in September or October. 
 
   In July Volta invested EUR2.2m through one newly issued EUR BB CLO 
tranche and additional capital was called by the existing CMV and the 
Warehouse. 
 
   As at the end of July 2020, after the 11 cents per share dividend 
payment, Volta's NAV was EUR208.2m or EUR5.69 per share. 
 
   The month-end available cash position was EUR8.7m 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 9.0% as at 30 June 2020 and 1.6% 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=UB84AuhWVUa_uVOsjBP_uj7cpBHzgw9UHhFUsUAc7MF413HOmXDMKNwBMhRFAD3skB1b2waqUdzEiiI2ZkNUqCiCKTAm5B0cmBBbK1BZpTs= 
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=rdZEWqYwmL0TxXknByaqM1MpJgvuJOYxGhge-6tP33UjyVrMgvXua1gWPISaVmb7SyGKcwf6e2Bb24SS4WDkoFGcd_rJni17cHCsF97up8PcJNXUAzS9promGz5UW4DxkyaHuCpE9qcy4gOXFTsczA4iUdMSrJnVf21ePaChrvwO6TYh7e9_fmlziw143_pBcx84yke-sAbR6w59SsT-b-l49w2t89DTcKf_OxF1TS5w34fMtmaNA5NNm9mIGJmTQkm4k9vNsTY75VHM1hVTas1re97oCtd_mDcsK45gXy2pSo76rh6_Nzr8FDJUbpw8wrQb2axI-dvWEalPSmfiBrEfOkm6JW8qJrZitIMZhvL-fywmqd0SQhRcMAcXYtQK 
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

August 12, 2020 12:00 ET (16:00 GMT)

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