Volta Finance Limited: Net Asset Value as at 28...

Volta Finance Limited (VTA / VTAS ) – February 20 2 2 monthly report

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

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Gue r nsey, 1 1 March 20 2 2

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

PERFORMANCE and PORTFOLIO ACTIVITY

At the end of February, the consequences of the Ukrainian invasion were beginning to be felt in the credit markets. February performance was -3.9% after a +1.7% performance in January.

This negative performance was mainly driven by the mark-to-market impact on European CLO tranches (-10.2% for European CLO Equity and -4.6% for European CLO debts). It is fair to say that at this point, the US CLO market has been less affected by the current Ukrainian situation. Also, Volta has for many years been long USD against EUR knowing that being long USD may act as a hedge against market turbulence. In February, EUR was stable versus USD but it has moved lower recently and we expect the long USD position to provide some relief in March (c.+0.8% on March NAV at the time of publishing this release).

Turning to the broad asset classes, the monthly performances** were: +0.8% for Bank Balance Sheet transactions, -5.6% for CLO equity tranches; -2.9% for CLO debt; -0.2% for Cash Corporate Credit and ABS (together representing 3.0% of NAV).

Regarding the impact of the Ukrainian crisis on Volta, one big unknown is the duration of the evolving commodity crisis. When looking at Volta’s underlying assets there are not any direct exposures to Russian or Ukrainian companies but Volta does have some exposures to companies that have part of their revenues or have some production sites in these two countries. However, it is worthwhile noting that CLOs tend to hold loans issued by companies of lower size, having mechanically less revenues out of Europe/UK/NorthAmerica than many global players in classic fixed income credit markets. Another mitigant si that we are just exiting from the Covid crisis and all the stress it generated so that most companies have much more cash than a few years ago.

In the European loan universe, there are very few companies with more than 10% of revenues reliant on production capacities in Russia or Ukraine: according to our information, the most exposed European company from this point of view is Stada, a pharmaceutical company, is deemed having c.14% of its revenues in Russia as well as 2 production sites. As a result, the direct consequences of the current crisis and sanctions are not expected to be material from a credit risk perspective in CLO tranches.

However, the impact of an emerging commodity crisis may well prove significant.

Businesses that are heavily dependent on energy or some food commodities are going to suffer. Depending on the length of the commodity squeeze, the capacity of such companies to pass through cost increases, and the extent of government actions seeking to shield consumers from price spikes, default rates may well rise. We currently expect the impact might be comparable to the impact from the Covid crisis (at worst, in Europe the trailing12-month default rate reached 2.8% in October 2020). The European loan default rate is currently at 0.6% and may reach 3% or more in 2023. If the commodity crisis was to last for several years. It would likely have a significant impact on overall economic growth and delay or even cancel interest rate hikes.

To end up with a more positive tone, this commodity crisis clearly will take time to develop so Volta cashflows can continue to be reasonably estimated for the next couple of quarters. For the 6 months ended February 2022, Volta received €21.1m interest and coupons representing a 16.3% annualized return on NAV. This strong cash flow continues to underpin Volta’s dividend and provides useful reinvestment opportunities.

As at the end of February 2021, Volta’s NAV was €259.9m or €7.10 per share.

*It should be noted that approximately 8 . 5 % 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 s . The most recently available fund NAV or quoted price was 7 . 9 % as at 3 1 January 202 2 and 0. 6 % as at 30 September 2021 .

** “ 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
[e-mail]
[phone]

Company Secretary and Administrator
BNP Paribas Securities Services S.C.A, Guernsey Branch
[e-mail] 
[phone]

Corporate Broker
Cenkos Securities plc
Andrew Worne
Daniel Balabanoff
[phone]

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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.

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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 global leader in financial protection and wealth management. AXA IM is one of the largest European-based asset managers with 2,460 professionals and €887 billion in assets under management as of the end of December 2021.

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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 r estricted 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.

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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.

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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.

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Attachment

• Volta - Monthly Report - February 2022