Volta Finance Limited - Net Asset Value as at 30 April 2020

Volta Finance Limited (VTA / VTAS) – April 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 May 2020

AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for April. 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 April, after the significant mark to market impact of the COVID-19 crisis in March, we had a modest rebound in terms of valuation. Volta’s NAV* total return performance in April was +5.7%.

The monthly performances** were, in local currency: +0.3% for Bank Balance Sheet transactions, +10.0% for CLO Equity tranches; +12.1% for CLO Debt; -9,9% for Cash Corporate Credit deals (this bucket compromises of funds that have one-month delay in publishing their NAV); and +0.6% for ABS.

At the end of the month, the average price for CLO Equity tranches was 43.0% and 33.4% respectively for USD and Euro positions, 59.7% for USD CLO debt (no Euro CLO debt positions were held by Volta).

These general market prices mark downs incorporate the expectation that a number of CLO Equity tranches will start suffering partial diversion of cash flows as early as in July, the next quarter payment dates for most positions, with further deterioration in October due to the increasing excess CCC bucket in CLOs. For Volta’s positions specifically we have identified, at present, only one position that might suffer a partial diversion of cash flow in July. If this remains the case, Volta’s positions should significantly outperform the wider market for July cash flow receipts. Rating agencies recently confirmed that they have already reviewed their ratings for 80 to 90% of loans and certainly the pace of loan downgrades has significantly reduced during the recent weeks, lowering the probability that Volta will suffer additional unexpected diversion of cash flows in July.

Now that April trustee reports have been collected, it appears that 20% of the USD CLO Equity universe suffered a partial or full diversion of cash flows in April. None of Volta positions saw any diversion and cash flows were received in full on all positions. The average CCC/Caa3 bucket is now 8% for S&P and 6% for Moody’s with levels of around 3% less for EUR deals. That said, even though European CLO Equity outperformed USD CLO Equity in April, the average price for EUR CLO Equity positions is still far below that for USD deals. We believe that this reflects the lower liquidity and lower risk appetite in Europe than in the US.