Volta Finance Limtied - Net Asset Value(s) as at 31 October 2020

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

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Guernsey, 10 November 2020

AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for October. 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 October, including the €0.11 per share dividend paid, the monthly performance of Volta was +1.6%, a relatively good performance for a month that was characterized by the resumption of the COVID crisis in Europe and growing uncertainties pre-US elections.

The monthly asset class performances** were in local currency: -1.9% for Bank Balance Sheet transactions, +2.9% for CLO Equity tranches; -0.4% for CLO Debt; -0.1% for Cash Corporate Credit deals (this bucket comprises funds that have a one-month delay in publishing their NAV); and -0.1% for ABS.

As we have noted previously, CLO quarterly cash flows are concentrated mostly into one month.  In the third quarter that is in October. This month the interest and coupons received by Volta represented the equivalent of €8.1m. This amount is significantly above the July level of €5.3m when CLO equity payments had been negatively affected by technical issues (US Libor rate decline and many European companies that elected during the spring to pay their interest on a 6-month basis). It is notable that this amount was also above pre-COVID levels; the equivalent of €7.8m was received in April 2020 before the pandemic impacted CLO waterfalls.

On a 6-month rolling basis, Volta received the equivalent of €16.8m as at the end of October, representing a 15.1% annualised yield, based on the end of October NAV.

At the time of writing this comment, Pfizer, partnering with BioNTech, has announced they have successfully passed the clinical trials for a vaccine against COVID. Market reactions were strong and, for example, US CCC Loans rose from circa 68 to 72% on the day of the announcement. US CLO BB tranches were up 3%. Even though there are still unresolved issues with this pandemic, it is good news for credit. In the case of a positive outcome on the vaccine front, with more pharmaceutical companies sharing similar positive news in the upcoming weeks, the future for loans and credit more generally would look less worrying.