Net asset value as of July 31, 2022

Volta Finance Limited (VAT /VTA) July 2022 monthly report

NOT FOR BROADCAST, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR IN PART, IN OR TO THE UNITED STATES

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Fordrnsey, 12 August 2022

AXA IM has published the monthly report of Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) for the month of June. The full report is attached to this press release and will soon be available on Volta’s website (www.voltafinance.com).

PERFORMANCE and PORTFOLIO ACTIVITY

July saw a recovery from the losses suffered the previous two months. The fund gained +4.5%, mainly driven by CLO shares in EUR (+2.7% contribution to NAV performance).

Across asset classes, monthly performances** were: -2.8% for bank balance sheet transactions, +5% for CLO equity tranches; +2.3% for CLO debt; -5% for Cash Corporate Credit and ABS (together representing 2.3% of NAV).

Following in the footsteps of most markets (July was one of the best months for the high yield bond market in years), loan markets rallied and so the CLO followed.

Across the CLO market, USD CLO shares received lower than expected cash flows due to the loss of the Libor floor, unlike EUR trades which received higher than expected cash flows . In addition to the rally in EUR CLO share prices (after two difficult months), this leads to a double-digit performance for this asset class in July.

In the past month, the fund sold 2 USD CLO tranches rated BB and B, and acquired 2 EUR tranches (of the same transaction) also rated BB and B. The purchases were based on the following assumptions: 18 months of call, 15% and 22% IRR respectively.

Over the next few weeks, Volta will participate in two CLO warehouses, a short USD warehouse and a EUR warehouse thereafter, both investments will be integrated into the issuance of CLO shares. Under current assumptions, the target IRR is around 15% for both trades, with limited risk for the USD warehouse as the fund invests after CLO pricing. More details will be communicated in the next report.

In July, Volta received the equivalent of 9.8 million euros in terms of interest and coupons. For the 6 months ended July 2022, Volta received €24.3 million in interest and coupons representing an annualized cash flow of 21.4% compared to ANAV.

As already reported in the past, Volta has not suffered any diversion of cash flow from its CLO Equity positions, we believe this should continue over the next few quarters.

At the end of July 2022, Volta’s NAV was €227.7m or €6.22 per share.

*It should be noted that approximately seven.0% of Volta’s GAV includes investments for which the relevant NAVs at the month-end date are normally only available after publication of the Volta’s NAV. It is Volta’s policy to publish its net asset value as soon as possible in order to provide shareholders with up-to-date information on Volta’s net asset value. Accordingly, these investments are valued using the most recent net asset value available for each fund or the quoted price for that subordinated rating.s. The most recent NAV of the fund available or the quoted price was 6.4% as of June 30, 2022 and 0.6% as of March 31, 2022..

** “performances asset classes are calculated as the Dietz performance of the assets of each sub-fund, taking into account the Mark-to-Market of the assets to be period endspayments received from the assets during the period, and ignoring variationsexchange rate. Nevertheless, some residual currency effects could impact the aggregate value of the portfolio during aggregation. each bucket.

CONTACTS

For the investment manager
AXA Investment Manager Paris
Serge Demay
[email protected]
+33 (0)1 44 45 84 47

Company Secretary and Director
BNP Paribas Securities Services SCA, Guernsey Branch
[email protected]
+44 (0) 1481 750 853

Corporate broker
Cenkos Securities plc
Andrew Worne
Daniel Balabanoff
+44 (0) 20 7397 8900

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ABOUT VOLTA FINANCE LIMITED

Volta Finance Limited is incorporated in Guernsey under the Companies (Guernsey) Act 2008 (as amended) and is listed on Euronext Amsterdam and the main market of the London Stock Exchange for listed securities. Volta’s home member state for the purposes of the EU Transparency Directive is the Netherlands. As such, Volta is subject to the regulation and supervision of the AFM, which is the financial markets regulator in the Netherlands.

Volta’s investment objectives are to preserve capital throughout the credit cycle and to provide a stable stream of income to its shareholders through dividends. Volta seeks to achieve its investment objectives primarily through diversified investments in structured finance assets. Assets in which the Company may invest directly or indirectly include, but are not limited to: corporate credits; sovereign and quasi-sovereign debt; residential mortgages; and, car loans. The Company’s approach to investing is through vehicles and arrangements which essentially provide leveraged exposure to portfolios of these underlying assets. The Company has entrusted AXA Investment Managers Paris with a management company with a division specializing in structured credit, for the financial management of all of its assets.

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ABOUT AXA INVESTMENT MANAGERS
AXA Investment Managers (AXA IM) is a multi-expert asset management company within the AXA Group, the world leader in financial protection and wealth management. AXA IM is one of the largest asset managers based in Europe with 2,460 professionals and €887 billion in assets under management at the end of December 2021.

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This press release is issued by AXA Investment Managers Paris (“AXA IM”), in its capacity as alternative investment fund manager (within the meaning of Directive 2011/61/EU, the “AIFM Directive”) of Volta Finance Limited (the “Volta Finance”) whose portfolio is managed by AXA IM.

This press release is purely informative and does not constitute an invitation or an inducement to acquire shares of Volta Finance. Its distribution may be prohibited in certain jurisdictions, and no recipient may distribute copies of this document in violation of such limitations or restrictions. This document does not constitute an offer for sale of the securities referred to in the United States or to persons who are “United States persons” for purposes of Regulation S under the United States Securities Act of 1933, as amended. (the “Securities Act”), or otherwise in circumstances where such an offer would be rrestricted by applicable law. These securities may not be sold in the United States without registration or exemption from registration under the Securities Act. Volta Finance does not intend to register any part of the offering of such securities in the United States or to conduct a public offering of such securities in the United States.

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This communication is only being distributed and directed to (i) persons located outside the United Kingdom or (ii) investment professionals falling under section 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the “Order”) or (iii) high net worth companies, and other persons to whom they may lawfully be disclosed, falling under section 49(2)(a ) to (d) of the Order (all such persons being collectively referred to as “Relevant Persons”). The securities referred to herein are only available to relevant persons and any invitation, offer or agreement to subscribe, purchase or acquire such securities will only be entered into with relevant persons. Any person who is not a relevant person should not act or rely on this document or any of its contents. Past performance cannot be taken as an indication of future performance.

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This press release contains statements that are, or may be deemed to be, “forward-looking statements”. These forward-looking statements can be identified by the use of forward-looking terminology, including the words “believes”, “anticipates”, “expects”, “intends”, “is/are expected”, “may”, “will” or “should”. They include statements regarding the level of the dividend, the current market environment and its impact on Volta’s long-term performance. Financeinvestments. By their nature, forward-looking statements involve risks and uncertainties, and readers are cautioned that these forward-looking statements are not guarantees of future performance. The actual results, portfolio composition and performance of Volta Finance may differ materially from the impression created by the forward-looking statements. AXA IM assumes no obligation to publicly update or revise any forward-looking statements.

All target information is based on certain assumptions about future events that may not occur. Due to the uncertainty surrounding such future events, the targets are not intended to be and should not be considered earnings or profit or any other type of forecast. There can be no assurance that any of these objectives will be achieved. Furthermore, no assurance can be given as to the achievement of the investment objective.

Figures provided which relate to past months or years and past performance cannot be taken as an indication of future performance or construed as a reliable indicator of future performance. Throughout this review, the citation of specific businesses or strategies is intended to illustrate some of Volta Finance’s investment methodologies and philosophies, as implemented by AXA IM. Historical success or AXA IM’s confidence in the future success of any of these businesses or strategies is not indicative and has no bearing on future results.

The valuation of financial assets may differ significantly from the prices that AXA IM could obtain if it sought to liquidate the positions on behalf of Volta Finance due to market conditions and the general economic environment. Such valuations do not constitute a fairness opinion or similar opinion and should not be relied upon as such.

Publisher: AXA INVESTMENT MANAGERS PARIS, a company incorporated under French law, whose registered office is located at Tour Majunga, 6, Place de la Pyramide – 92800 Puteaux. AXA IMP is authorized by the Financial Markets Authority under number GP92008 as an alternative investment fund manager within the meaning of the AIFM Directive.

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  • Volta – Monthly Report – July 2022

Michael J. Birnbaum