Volta Finance Limited - Net Asset Value(s) as at 30 September 2020

Volta Finance Limited (VTA / VTAS) – September 2020 monthly report

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Guernsey, 12 October 2020

AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for September. 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 September, the monthly performance of Volta was +4.8%, the solid performance being driven by ongoing improvement in the CLO bucket.

September saw USD appreciation; with the near 45% USD exposure of Volta contributing circa 0.9% to the positive performance.

The monthly asset class performances** were in local currency: +1.4% for Bank Balance Sheet transactions, +4.9% for CLO Equity tranches; +5.9% for CLO Debt; +1.9% for Cash Corporate Credit deals (this bucket comprises funds that have a one-month delay in publishing their NAV); and -9.0% for ABS.

The negative performance for ABS is due to the consequences of the COVID crisis, particularly on the French SMEs exposure, which has generated technical arrears in the portfolio deriving from credit moratoria in France that are conservatively accounted for in valuation. The effects of the crisis should be smoothed over time as underlying companies rectify their situation

Regarding expected October cash flows, we noticed again that September reports were, on average, showing some improvements on over-collateralization test cushions. We expect October payments to be higher than in July. It is these improvements that are reflected in the September price increases we observed.

In September, Volta received the equivalent of €0.3m in terms of Interest or Coupons from its assets. On a 6-month rolling basis, Volta received the equivalent of €16.5m as at the end of September. It is representing a 15% annualized yield, based on the end of September NAV.

Looking further into the future, our view is still that although default rates in both loan markets (the 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.

Again, in September, CLO debt spreads for the most senior tranches continued to decrease. For Volta, we are currently negotiating the refinancing of some of the CLO debts that are leveraging some of our CLO Equity positions.