# Volta Finance NAV of +4.8% for September

- Link: https://www.directorstalkinterviews.com/volta-finance-nav-of-4-8-for-september/412863722
- Published: 2020-10-14T07:59:11+01:00
- Author: Amilia Stone

AXA IM has published the **[Volta Finance](https://www.directorstalkinterviews.com/company/volta-finance/vta.as)
Ltd** ([LON:VTA](https://www.directorstalkinterviews.com/company/volta-finance/vta.as))
monthly report 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 ACTIVITY**

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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