Volta Finance Limited – Net Asset Value as of September 30, 2022

volta finance limited

volta finance limited (VTA / SALES) September twentytwotwo monthly report

NOT FOR PUBLICATION, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR IN PART, IN OR TO THE UNITED STATES

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wowrnsey, 13 October twentytwotwo

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

PERFORMANCE and PORTFOLIO OF ACTIVITY

This month, the structured debt market has been significantly affected by the “liquidity” crisis which resulted in Volta’s net asset value (“NAV”) decreasing by -7.2%, fully reversing the improvement in the NAV of +7.2% observed in July/August.

Examining the underlying asset subclasses, monthly returns** were: +1.3% for bank balance transactions, -5.6% for CLO share tranches; -8.7% for CLO debt; and -0.2% for Corporate Credit in Cash and ABS (jointly representing 2.3% of NAV).

In our opinion, the fall in prices in the second half of September is the direct result of many investors having to deal with huge margin calls from currency hedging and/or synthetic duration management (LDI: Liability Driven Investing) and become forced sellers in order to generate cash, in a context of new record volatility of currencies and interest rates.

Volta avoided the need to raise cash by selling assets at cut prices, as it accumulated enough cash in August.

In the CLO markets, we saw an increase in BWIC (Competing Solicited Offers) listings with sometimes a very short turnaround time window (less than a few hours); the usual practice, under normal market conditions, is to ask for offers for the following day.

As a consequence, prices of CLO debt in particular have been temporarily reduced even though there was still almost no trading in CLO equity tranches as the vast majority of BWICs were AAA or AA debt tranches. of CLOs with a high focus on European CLO debt.

As for the fundamentals, as expected, there have been more loan downgrades than upgrades in September, but the overall amount remains relatively low. There has been no significant increase in the ratio of CCC loans to CLOs and the CLO loan default rate remains very low (0.4% in Europe and 0.9% in the US over the last 12 months).

For the next month, the focus will be on the earnings release for the third quarter of 2022, but the general outlook is not expected to change: we continue to expect a rise in loan market default rates next year, but not at a level that would cause a cash diversion. cash flows for CLO Equity positions in 2023. Volta is expected to receive all of its cash flows from its CLO Equity position in October. We expect to continue generating a high level of coupons, we seek to take advantage of the investment opportunities of the current liquidity crisis.

Last week we opened a European CLO warehouse. No loans have been purchased yet, but we expect to purchase some loans in the coming weeks/months at a significant discount to later build a very profitable CLO equity position from this warehouse.

In September, Volta received the equivalent of 0.8 million euros in interest and coupons. During the 6 months ended September 2022, Volta received €24 million of interest and coupons representing an annualized cash flow of 22.4% relative to NAV.

At the end of September 2022, Volta’s net asset value was €212.3 million or €5.80 per share.

*It should be noted that approximately 7.twoVolta’s GAV % comprises investments for which the relevant NAVs as of the month-end date are typically available only after Volta’s NAV has already been published. Volta’s policy is 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, such investments are valued using the most recent net asset value available for each fund or the quoted price of such subordinated note.s. The net asset value of the most recent available fund or the quoted price was 1.0% like in 31 August 20225.7% as of July 31, 2022 and 04% at 30 June 2022..

** “performances of asset classes are calculated as the Dietz return on assets in each segment, taking into account the Mark-to-Market of assets in period endspayments received on assets during the period and ignoring changes inExchange rates. However, some residual currency effects could affect the added value of the portfolio by adding every bucket.

CONTACTS

For the Investment Manager
AXA Investment Managers Paris
serge demay
[email protected]
+33 (0) 1 44 45 84 47

Secretary and administrator of the company
BNP Paribas Securities Services SCA, Guernsey Branch
guernsey.bp2s[email protected]
+44 (0) 1481 750 853

Corporate Broker
Cenkos Securities plc
Andrew
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 London Stock Exchange 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 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 steady stream of income to its shareholders through dividends. Volta seeks to achieve its investment objectives predominantly through diversified investments in structured finance assets. Assets in which the Company may invest directly or indirectly include, but are not limited to: corporate loans; sovereign and quasi-sovereign debt; residential mortgage loans; and car loans. The Company’s investment approach is through vehicles and arrangements that essentially provide leveraged exposure to portfolios of such underlying assets. The Company has appointed AXA Investment Managers Paris as an investment management company with a specialized structured credit division, for the investment management of all 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 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 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 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 distribute copies of this document in violation of such limitations or restrictions. This document is not an offer for sale of the securities referenced herein in the United States or to persons who are “U.S. persons” for purposes of Regulation S of the U.S. Securities Act. of 1933, as amended (the “Securities Act”). or otherwise in circumstances where such offer would be rrestricted by applicable law. Such securities may not be sold in the United States without registration or an exemption from registration under the Securities Act. return finance it does not intend to register any part of the offering of such securities in the United States or to make a public offering of such securities in the United States.

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This communication is only distributed to and directed to (i) persons located outside the UK or (ii) investment professionals who fall within Section 19(5) of the Financial Markets and Services Act 2000 (Promotion Financial) Order 2005 (the “Order”) or (iii) high net worth companies, and other persons to whom it may be legally communicated, included in Article 49 (2) (a) to (d) of the Order (all these people together are called “relevant people”). The securities referred to herein are only available to, and any invitation, offer or agreement to subscribe to, purchase or otherwise acquire such securities will be made only with the relevant persons. Anyone other than a Relevant Person should not act on or rely on this document or any of its contents. Past performance cannot be relied upon 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 may be identified by the use of forward-looking terminology, including the terms “believes”, “anticipates”, “expects”, “intends”, “is expected”, “may”, “will”. or should.” They include statements about the level of the dividend, the current market environment and its impact on Volta’s long-term performance. Financethe investments 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. Actual results, portfolio composition and performance of Volta Finance may differ materially from the impression created by forward-looking statements. AXA MI undertakes no obligation to publicly update or revise any forward-looking statements.

Any objective information is based on certain assumptions regarding future events that may not come to pass. Due to the uncertainty surrounding these future events, targets are not intended to be and should not be considered profit or loss or any other type of forecast. There can be no assurance that any of these goals will be achieved. Furthermore, there can be no guarantee that the investment objective will be achieved.

Figures provided that relate to recent months or years and past performance cannot be considered a guide to future performance or construed as a reliable indicator of future performance. Throughout this review, the mention of specific operations or strategies is intended to illustrate some of Volta Finance’s investment methodologies and philosophies, as implemented by AXA IM. The historical success or belief of AXA IM in the future success of any of these operations or strategies is not indicative of or related to future results.

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

Publisher: AXA INVESTMENT MANAGERS PARIS, a company incorporated under the laws of France, with registered office at Tour Majunga, 6, Place de la Pyramide – 92800 Puteaux. AXA IMP is authorized by the Autorité des Marchés Financiers with registration number GP92008 as an alternative investment fund manager within the meaning of the AIFM Directive.

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