TIDMVTA
Volta Finance Limited (VTA / VTAS) -- August 2022 monthly
report
NOT FOR RELEASE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR PART,
IN OR INTO THE UNITED STATES
*****
Guernsey, 13 September 2022
AXA IM has published the Volta Finance Limited (the "Company" or
"Volta Finance" or "Volta") monthly report for August. The full
report is attached to this release and will be available on Volta's
website shortly (www.voltafinance.com).
PERFORMANCE and PORTFOLIO ACTIVITY
For the second consecutive month, August saw a recovery from the
losses faced in Q2 2022 with the Ukrainian crisis. The fund gained
+3.0%, mainly driven by CLO equity holdings.
Through asset classes, the monthly performances** were: +1.5%
for Bank Balance Sheet transactions, +4.6% for CLO equity tranches;
+3.3% for CLO debt; -0.9% for Cash Corporate Credit and ABS
(together representing 2.3% of NAV).
In the footsteps of most markets the loan markets rallied again
in August and therefore CLOs followed.
In August, CLO trustee reports are showing again that CLO
managers are, on average, able to build some par, reinvesting the
few prepayments in loans at discounts. -- true for CLOs in RP. When
considering risk measures, August was relatively stable but when
considering broader credit markets we started seeing more upgrades
than downgrades. Some deterioration may come regarding CLO risk
metrics in the coming months (higher CCC bucket for example) but we
still expect such deterioration to be smooth.
Very near the end of August we saw a few defaults materializing
in the US loan market so that last-12-month default rate went from
0.3% at the end of July to 0.6% at the end of August. Knowing that
the average annual historical default rate is in the area of 2.8%,
we are still, for the time being, in a low default rate
environment. At the end of August, the same measure was at 0.7% for
European loans.
Our view is still that we may see more defaults materializing
next year and we expect a default rates for 2023 to reach something
in the area of 2% for the US, 3% for Europe. With this kind of
default expectation the projected yield for Volta's CLO book is
slightly above 24% (based on the NAV; from the current share price
we have a projected yield above 30%).
The kind of deterioration we expect should not cause any
meaningful diversion of cash flows: we expect Volta to receive full
coupons from all its positions for the second half of 2022 and for
2023.
In August, Volta received the equivalent of EUR1.5m in terms of
interest and coupons. For the 6 months ended July 2022, Volta
received EUR24.8m interest and coupons representing a 21.1%
annualized cash flow to NAV.
During the month, Volta invested in a new CLO Equity in USD and
participated in the warehouse attached to this position for a total
of EUR2.7m equivalent. The projected IRR for this CLO Equity,
incorporating the associated gain from the warehouse, is in the
area of 17% IRR.
For the coming weeks, Volta will participate in one European CLO
warehouse with the intention to roll into the CLO equity at
issuance. Our investment thesis is to be able to buy European loans
at a discount in Q4 2022 at a point in time when we expect to see
some pressure on European Loans: we may see some warehouse
liquidations at this point (some of the warehouses opened in Q4
2021, that have been unable to transform into a CLO in due time)
while the loan market will have to face a poor Q3 earning
season.
As at the end of August 2022, Volta's NAV was EUR233.9m or
EUR6.39 per share.
*It should be noted that approximately 6.8% 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 6.4% as at 30 July
2022 and 0.4% as at 30 June 2022..
** "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.
CONTACTS
For the Investment Manager
AXA Investment Managers Paris
Serge Demay
serge.demay@axa-im.com
https://www.globenewswire.com/Tracker?data=o_yg7RZw1FM0pZPbByHz0nP4ZTxEQNEdANqV96i2uCRyDT7ZdtztNJlFSPDV3ufLcW5SZX3jcTEXRuPhX_nCym_CNVDOe_0FCVqcyOEAaf0=
+33 (0) 1 44 45 84 47
Company Secretary and Administrator
BNP Paribas Securities Services S.C.A, Guernsey Branch
guernsey.bp2s.volta.cosec@bnpparibas.com
https://www.globenewswire.com/Tracker?data=mf4DffKsyXIncIi5mIqpD_C4hk4zHviwq85MX3QYX2yREJFY0ufyr3e9dZr0VuNWRvlsCle-3h-02e3KH0A2x219rgL1b537cWP5jbJm1BOKW6nf_xF2C0Utir3d86U-0jpNY0AyIktg3Xnlw_Lj3WF2tnTsq2MjAmRraJqM2VtHjCc6qygVpuN1mpkQz0ESfux3xhDgmthd-IIMnjB0rM_UY3JxPYl7KZuiGQe6Na8zp_H5g2RZo9zNuy4kHVyUHZ-2FXLJucAOCMAOSGpK8R3hsZwq15YFRkUROUJOouuH2UqbO7LWBv32PkxPrFXb2Idlctu6dcvndeBwVdiIWsn5I_OaUgMyTuiKtUVzt4XS8Cr8VOum6wiFfFlfp7NR
+44 (0) 1481 750 853
Corporate Broker
Cenkos Securities plc
Andrew Worne
Daniel Balabanoff
+44 (0) 20 7397 8900
*****
ABOUT VOLTA FINANCE LIMITED
Volta Finance Limited 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.
Volta's investment objectives are to preserve capital across the
credit cycle and to provide a stable stream of income to its
shareholders through dividends. Volta seeks to attain its
investment objectives predominantly through diversified investments
in structured finance assets. The assets that the Company may
invest in either directly or indirectly include, but are not
limited to: corporate credits; sovereign and quasi-sovereign debt;
residential mortgage loans; and, automobile loans. The Company's
approach to investment is through vehicles and arrangements that
essentially provide leveraged exposure to portfolios of such
underlying assets. The Company has appointed AXA Investment
Managers Paris an investment management company with a division
specialised in structured credit, for the investment management of
all its assets.
*****
ABOUT AXA INVESTMENT MANAGERS
AXA Investment Managers (AXA IM) is a multi-expert asset
management company within the AXA Group, a global leader in
financial protection and wealth management. AXA IM is one of the
largest European-based asset managers with 2,460 professionals and
EUR887 billion in assets under management as of the end of December
2021.
*****
This press release is published 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 for information only and does not
constitute an invitation or inducement to acquire shares in Volta
Finance. Its circulation may be prohibited in certain jurisdictions
and no recipient may circulate copies of this document in breach of
such limitations or restrictions. This document is not an offer for
sale of the securities referred to herein in the United States or
to persons who are "U.S. persons" for purposes of Regulation S
under the U.S. Securities Act of 1933, as amended (the "Securities
Act"), or otherwise in circumstances where such offer would be
restricted by applicable law. Such securities may not be sold in
the United States absent registration or an exemption from
registration from the Securities Act. Volta Finance does not intend
to register any portion of the offer of such securities in the
United States or to conduct a public offering of such securities in
the United States.
*****
This communication is only being distributed to and is only
directed at (i) persons who are outside the United Kingdom or (ii)
investment professionals falling within Article 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 it may lawfully be communicated, falling within
Article 49(2)(a) to (d) of the Order (all such persons together
being referred to as "relevant persons"). The securities referred
to herein are only available to, and any invitation, offer or
agreement to subscribe, purchase or otherwise acquire such
securities will be engaged in only 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 relied
on as a guide to future performance.
*****
This press release contains statements that are, or may deemed
to be, "forward-looking statements". These forward-looking
statements can be identified by the use of forward-looking
terminology, including the terms "believes", "anticipated",
"expects", "intends", "is/are expected", "may", "will" or "should".
They include the statements regarding the level of the dividend,
the current market context and its impact on the long-term return
of Volta Finance's investments. By their nature, forward-looking
statements involve risks and uncertainties and readers are
cautioned that any such forward-looking statements are not
guarantees of future performance. Volta Finance's actual results,
portfolio composition and performance may differ materially from
the impression created by the forward-looking statements. AXA IM
does not undertake any obligation to publicly update or revise
forward-looking statements.
Any target information is based on certain assumptions as to
future events which may not prove to be realised. Due to the
uncertainty surrounding these future events, the targets are not
intended to be and should not be regarded as profits or earnings or
any other type of forecasts. There can be no assurance that any of
these targets will be achieved. In addition, no assurance can be
given that the investment objective will be achieved.
The figures provided that relate to past months or years and
past performance cannot be relied on as a guide to future
performance or construed as a reliable indicator as to future
performance. Throughout this review, the citation of specific
trades or strategies is intended to illustrate some of the
investment methodologies and philosophies of Volta Finance, as
implemented by AXA IM. The historical success or AXA IM's belief in
the future success, of any of these trades or strategies is not
indicative of, and has no bearing on, future results.
The valuation of financial assets can vary significantly from
the prices that the AXA IM could obtain if it sought to liquidate
the positions on behalf of the Volta Finance due to market
conditions and general economic environment. Such valuations do not
constitute a fairness or similar opinion and should not be regarded
as such.
Editor: AXA INVESTMENT MANAGERS PARIS, a company incorporated
under the laws of France, having its registered office located at
Tour Majunga, 6, Place de la Pyramide - 92800 Puteaux. AXA IMP is
authorized by the Autorité des Marchés Financiers under
registration number GP92008 as an alternative investment fund
manager within the meaning of the AIFM Directive.
*****
Attachment
-- Volta - Monthly Report - August 2022
https://ml-eu.globenewswire.com/Resource/Download/732fd42c-da6e-44ff-a446-f3b112b2e4b4
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September 13, 2022 12:15 ET (16:15 GMT)
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