Volta Finance Limited - Net Asset Value as at 31 March 2020

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

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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 (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 €9.7m to face margin calls from currency hedging and amounts drawn from previous investments.  These positions generated a loss of €4.9m (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.