Volta Finance Limited

Net Asset Value as at 31 May 2020 (Replacement) - Seite 2

Volta resumed investing in May through the purchase of €3m 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 €200.9m or €5.49 per share. The Company will pay a 10 cents dividend per share to shareholders on 16^th June.

The month-end cash position was €10.7m. 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
[e-mail]

[phone]

Company Secretary and Administrator
BNP Paribas Securities Services S.C.A, Guernsey Branch
[e-mail]