Volta Finance NAV of 4.8% for September

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


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.

Regarding the CLO warehouse held by Volta, it has been transformed (in early October) into a CLO Equity position with a cost of debt (leverage) that is amongst the tightest since the Covid crisis began. We decided to price a CLO with a B-rated tranche that can be issued later on, as we can conceive being able to issue such B-rated tranches at a lower spread in the future. In the meantime, our CLO Equity position from this deal is slightly larger than usual, something that should lead to lower price volatility.

As at the end of September 2020, Volta’s NAV was €222.5m or €6.08 per share.

The month-end available cash position was €7.9m.

*It should be noted that approximately 13.3% 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 note. The most recently available fund NAV or quoted price was for 7.2% as at 31 August 2020 and 6.1% as at 30 June 2020.

** “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 cross-currency rates. Nevertheless, some residual currency effects could impact the aggregate value of the portfolio when aggregating each bucket.

Volta Finance Ltd is incorporated in Guernsey under The Companies (Guernsey) Law, 2008 (as amended) and listed on Euronext Amsterdam and the London Stock Exchange’s Main Market 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 regulation and supervision by the AFM, being the regulator for financial markets in the Netherlands.

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