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Volta invests in a broad portfolio of structured finance assets, maintaining flexibility to optimise long-term returns in highly dynamic markets. Its five-year 13.2% p.a. shareholder return has been largely generated by predictable coupons and dividends, and not from capital gains. Volta’s long-term NAV returns have beaten those of peers for an in-line volatility. Its deep market understanding has identified assets mis-priced for risk. Economic downturns create opportunities, as well as threats. The historical yield is now 9.0% and is covered ca.1.5x by our adjusted earnings forecasts.

  • Volta monthly report: In September, Volta’s NAV fell 0.4%, taking it to €8.28 and the YTD performance to +5.0%. The five-year performance has been +13.2% p.a. US CLO equity holdings were increased, taking total CLO equity holdings to over 30% of the portfolio and cash down to 2% – its lowest level since July 2016. The top five underlying exposures remain under 2.5% of NAV.
  • Peers’ September reports: Carador saw a 0.29% rise in its $ NAV (YTD 3.09%). It is now in wind-up mode. Fair Oaks Income’s $ NAV was down 1.4%. Blackstone GSO Loan Financing said that its more marked to model € NAV rose 1.81% (YTD 6.35%). TwentyFour Income Fund saw a 0.22% rise in NAV (YTD 3.18%). Marble Point reported a 0.61% $ monthly gain (0.52% since February IPO).
  • Valuation: Volta trades at a 17% discount to NAV. Peer-structured finance funds trade at a small discount (ca.2%), with some at premiums up to 6% over NAV. In the medium term, Volta has delivered faster NAV growth than its immediate peers and an in-line volatility, making this discount an anomaly.
  • Risks: Credit risk is a key sensitivity (Volta has a widely diversified portfolio). We examine the valuation of assets, highlighting the multiple controls to ensure its validity. NAV is affected by sentiment towards its own and underlying markets. Volta’s long $ position is only partially hedged.
  • Investment summary: Volta is an investment for sophisticated investors, as there may be sentiment-driven, share price volatility. However, long-term returns have been good: 13.2% p.a. returns (dividend re-invested basis) over five years. The current portfolio expected NAV return is similar. The yield is 9.0%, and we believe it will be covered by predictable income streams.
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