Volta Finance Limited - Net Asset Value as at 30 April 2023 - Seite 2

We still consider that the most likely scenario for 2023 is to close the year with higher but manageable default rates: from current 0.6% in Europe and 1.3% in the US at the end of April toward something in the 1/1.5% context for European loans and 2/2.5% for US loans. The levels, even modestly higher levels, may not cause any issue for CLO Equity quarterly payments (no interruption/diversion of payments in 2023 and most probably in 2024 as well).

Except for one deal that we did in April, with a significant rebate regarding the price we paid, all Volta CLO Equity are from pre-Ukrainian invasion vintages, the vast majority of them were refinanced/reset in 2021 and benefit from a cheap cost of leverage (in the 170bps area, relative to close to 300bps for the most recent CLOs). This cheap cost of leverage is the main driver of Volta quarterly cashflows and future performances.

In April, Volta received the equivalent of €10.3m of interests and coupons. Through the last 6 months, Volta received €23.4m of interests and coupons, ie. a 20.5% annualized cash flow to NAV.

In April, we purchased one USD CLO Equity position as well as the BB tranche of the same deal (for a total of $9.4m), plus the BB and the B tranche of a European CLO (for a total of €2.2m). Those debt tranches were purchased with projected IRR between 12.5 and 15% while the CLO Equity tranche was purchased with a projected IRR in the 13%. The Equity position was purchased under the assumption that such projected return will be significantly improved in 18/24 months when being able to reset the transaction with a lower cost of leverage.

As at the end of April 2023, Volta’s NAV was €227.7m or €6.22 per share.

*It should be noted that approximately 10.23% 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 notes. The most recently available fund NAV or quoted price was 3.73% as at 14 April 2023, 6.04% as at 31 March 2023, 0.46% as at 31 December 2022.