Volta Finance Limited

Net Asset Value(s) as at 31 August 2020 - Seite 2

In August, Volta received the equivalent of €1m in terms of Interest or Coupons from its assets. On a 6-month rolling basis, Volta received the equivalent of €17.0m as at the end of August. It is still representing a 16% annualised yield based on the end of August NAV.

Looking further into the future, our view is still that although default rates in both loan markets (US and Europe) are expected to increase, we expect them to increase slowly. In such a context, full payment of cash flows to our CLO Equity positions is expected to stay the norm. Although the COVID crisis had an economic impact that is roughly twice more severe than the consequences of the Sub-prime crisis and the GFC, the impact on CLO equity and CLO debt is expected to be much more reduced, thanks to a delay in default occurrences.

We observed, in August, a significant tightening in USD CLO senior tranche spreads (Europe was lagging). Our view is that it was the first sign of what we expect on a more long term basis: CLO senior tranches are gaining traction amongst investors and even if it is too early to figure out when it might happen, we are more and more confident that at some point in time we might have the opportunity to refinance or reset some of Volta positions to benefit from a better arbitrage in favor of our CLO equity positions. USD CLO AAA tranches were issued at Libor+130/135bps spread before the COVID crisis and we are now almost back to these levels.

Regarding the CLO warehouse held by Volta, we entered discussions with the arranging bank to transform this position into an actual CLO, targeting pricing by the end of September.

As at the end of August 2020, Volta’s NAV was €212.1m or €5.80 per share.

The month-end available cash position was €8.9m 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 4.6% as at 31 July 2020 and 6.0% as at 30 June 2020.