Structured Debt fund Volta Finance

AXA IM has published the Volta Finance Ltd (LON:VTA) monthly report for June. The full report is attached to this release and will be available on Volta’s website shortly (www.voltafinance.com).

PERFORMANCE and PORTFOLIO ACTIVITY

Volta continued to perform well in June, gaining +2.2%, and bringing the total return to 11.3% for the first six months of 2021.

The performance was mostly driven by the CLO Equity bucket and more specifically by the reset of Wind River 2019-1. The USD appreciation added 1.4% to the monthly asset performance.

The monthly asset class performances** were: +1.6% for Bank Balance Sheet transactions, +1.9% for CLO equity tranches; -0.7% for CLO debt; +8.4% for Cash Corporate Credit and ABS (together representing 3.2% of GAV).

Focusing on Wind River 2019-1, it is a $500m US CLO managed by First Eagle Alternative Credit (formerly known as THL Credit) where Volta initially participated in the warehouse and then rolled into the Equity. Given the manager’s very good performance since inception, Volta was able to lead a successful reset and extract a c.25% non-annualized distribution at the Equity level in addition to a 16bps decrease in terms of weighted average cost of debt and a 2.5 years extension of the reinvestment period compared to the initial terms of the CLO. Volta also took the reset opportunity to invest in the BB and B tranches of the CLO.

In terms of cash flows, June 2021 was unusually strong thanks to the carried interest received at the closing of the Neuberger Berman 42 warehouse (generating a 46% IRR for Volta over 4 months / 1.06x MOIC***) and to the Wind River 2019-1 windfall. Interest and coupons received during the month totaled the equivalent of €3.9m. On a 6-month rolling basis, Volta received the equivalent of €24.0m at the end of June, representing a 18.0% annualised cash flow yield, based on the end of June NAV. We still expect overall cash flows to continue to increase in the coming months/quarters.

In June, in addition to the Wind River 2019-1 debt tranches, Volta purchased a €1.5m secondary European CLO Equity managed by Hayfin and was called on a $2m US CLO Equity position, Flatiron 2015-1 SUB, realizing a 6.5% final IRR and a 1.25x MOIC*** over a 6-year investment horizon.

As at the end of June 2021, Volta’s NAV was €266.2m or €7.28 per share.

The month-end cash position was €14.0m.

*It should be noted that approximately 8.0% of Volta Finance’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 1.8% as at 31 May 2021, 5.2% as at 30 April 2021 and 1.0% as at 31 March 2021.

** “performances of asset classes are calculated as the Dietz-performance of the assets in each bucket, taking into account the Mark-to-Market of the assets at period ends, payments received from the assets over the period, and ignoring changes in crosscurrency rates. Nevertheless, some residual currency effects could impact the aggregate value of the portfolio when aggregating each bucket.

***’MOIC’ means Multiple on Invested Capital

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