Volta Finance Limited – Net asset value as of November 30

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Volta Finance Limited (VAT / VTAS) Novemberbre 2021 monthly report

DO NOT DISTRIBUTE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR IN PART, IN THE UNITED STATES OR TO THE UNITED STATES

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Fordrnsey, ten December 2021

AXA IM has published the monthly report of Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) for the month of November. 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

November’s performance was positive at + 1.0%. The total return of the Company since the beginning of the year is 17.5%. Again this month, the performance of Volta’s portfolio was poorly correlated to the broader markets: Loan cash flows remained resilient and no significant news was released to change expectations that defaults were will remain weak and cash flows strong.

The new Omicron Covid variant had a much broader impact on the overall valuation of the equity market, but did not appear to significantly influence the strong outlook for loans in 2022 and 2023. Billions remain available to refinance the debt (including loans) and the maturity wall of loan markets. , both in the United States and in Europe, seems to go from 2025/2026 to 2028/2029 as a result. Consequently, we anticipate several years with relatively low default rates (at the end of November, the default rates over the last 12 months are respectively 0.3% and 0.8% in the United States and in Europe).

For Volta, we remain significantly exposed to CLO Equity positions (2/3 of our assets) in order to benefit from the significant cash flows that these positions have brought so far and should continue to pay. In 2021, we were successful in reshaping most of our CLO equity positions by refinancing or resetting the long-term leverage that supports the arbitrage of CLO equity positions. All other things being equal, we can expect to receive higher and longer term cash flows from these CLO Equity positions.

November is generally a relatively light month in terms of interest and CLO coupons with the equivalent of 1.2 million euros received. On a rolling 6-month basis to the end of November, Volta received the equivalent of € 25.9m, representing an annualized cash return of 19.1%, based on month-end NAV.

In November, we bought BB and B tranches of CLO, took advantage of a CLO reset to supplement an existing CLO Equity position at a very competitive price (81.5% of par) and opened a new CLO European warehouse for a total equivalent to € 15.7 million.

Regarding the detailed asset classes, the monthly performances ** were: + 0.8% for bank balance sheet transactions, + 0.7% for CLO equity tranches; -0.1% for the CLO debt; + 0.3% for Cash Corporate Credit and ABS (together representing 3.0% of NAV). Long exposure in USD positively contributed to the monthly performance by 0.7%.

At the end of November, Volta is fully invested and CLO Debt / Equity / Warehouses represents 90% of the assets. Month after month, we are gradually making the transition from Volta to a pure CLO vehicle and this process will continue with the remaining residual non-CLO assets over the course of 2022.

At the end of November 2021, Volta’s NAV was € 270.6 million, or € 7.40 per share.

* It should be noted that approximately 9.2The% of Volta’s GAV includes investments for which the corresponding NAVs at the month-end date are normally only available after the publication of Volta’s NAV. It is Volta’s policy to disclose its net asset value as quickly as possible in order to provide shareholders with appropriately updated Volta net asset value information. Therefore, these investments are valued using the most recent net asset value available for each fund or the quoted price for that subordinate note.s. The fund’s net asset value or the most recent quoted price was 3.2% like a 31 October 2021, 0.7% as of September 30, 2021, and 5.3% as of July 31, 2021.

** “performances asset classes are calculated as the Dietz performance of the assets in each sub-fund, taking into account the market value of the assets at the period ends, payments received from assets during the period, and ignoring changes inexchange rate. However, certain residual currency effects could have an impact on the aggregate value of the portfolio when each sub-fund is aggregated.

CONTACTS

For the investment manager
AXA Investment Managers Paris
Serge Demay
serge.demay@axa-im.com

+33 (0) 1 44 45 84 47

Company secretary and director
BNP Paribas Securities Services SCA, Guernsey branch
guernsey.bp2s.volta.cosec@bnpparibas.com
+44 (0) 1481 750 853

Corporate broker
Cenkos Securities plc
Andrew Worn
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 listed on Euronext Amsterdam and on 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, being the regulator of the financial markets in the Netherlands.

Volta’s investment objectives are to preserve capital throughout the credit cycle and to provide a stable income stream 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: business loans; sovereign and quasi-sovereign debt; residential mortgage loans; and, auto loans. The Company’s approach to investing involves vehicles and arrangements that essentially provide leveraged exposure to the portfolios of these underlying assets. The Company has appointed AXA Investment Managers Paris an investment management company with a division specializing in structured credit, for the investment 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, a world leader in financial protection and wealth management. AXA IM is one of the largest European asset managers with 767 investment professionals and 866 billion euros in assets under management at the end of June 2021.

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This press release is published by AXA Investment Managers Paris (“AXA IM”), in its capacity as manager of alternative investment funds (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 informational purposes only and does not constitute an invitation or an incentive to acquire shares of Volta Finance. Its distribution may be prohibited in certain jurisdictions, and no recipient may distribute copies of this material in violation of these limitations or restrictions. This document is not an offer to sell the securities referred to in the United States or to persons who are “US persons” for the purposes of Regulation S under the US 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 cannot be sold in the United States without registration or an 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 distributed to and is intended for (i) persons outside the UK 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) of high net worth companies and other persons to whom it may be legally disclosed, falling under section 49 (2) (a) to (d) of the Order (all these persons being as “data subjects”). The securities referred to in this document are not available and any invitation, offer or agreement to subscribe, purchase or acquire such securities will only be concluded with the persons concerned. Anyone who is not a Data Subject should not act or trust this document or any of its contents. Past performance cannot be taken as a guide to future performance.

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This press release contains statements that are, or may be considered, “forward-looking statements”. These forward-looking statements can be identified through the use of forward-looking terminology, including the terms “believes”, “anticipates”, “expects”, “intends”, “is / are expected”, “could”, “will” or “should”. They include statements regarding the level of the dividend, the current market conditions the context and its impact on Volta’s long-term performance Financeinvestments of. By their nature, forward-looking statements involve risks and uncertainties, and readers are cautioned that such forward-looking statements are not guarantees of future performance. The actual results, the composition of the portfolio and the 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 which may not be true. realized. Due to the uncertainty surrounding these future events, targets are not intended to be and should not be viewed as profits or profits or any other kind of forecast. There can be no assurance that any of these objectives will be achieved. Furthermore, no assurance can be given that the investment objective will be achieved.

The figures provided which relate to past months or years and to past performance cannot be taken as a guide to future performance or interpreted as a reliable indicator of future performance. Throughout this review, the citation of specific transactions or strategies is intended to illustrate some of Volta Finance’s investment methodologies and philosophies, as implemented by AXA IM. AXA IM’s historical success or belief in the future success of any of these transactions or strategies is not indicative of and has no bearing on future results.

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

Editor: AXA INVESTMENT MANAGERS PARIS, a company incorporated under French law, with its registered office in Tour Majunga, 6, Place de la Pyramid – 92800 Puteaux. AXA IMP is authorized by the Authority from Markets Financial under the registration number GP92008 as an alternative investment fund manager within the meaning of the AIFM directive.

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  • Volta – November Monthly Report


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