Our view is still that we may see more defaults materializing next year and we expect a default rates for 2023 to reach something in the area of 2% for the US, 3% for Europe. At the end of August, the same measure was at 0.7% for European loans. Knowing that the average annual historical default rate is in the area of 2.8%, we are still, for the time being, in a low default rate environment. Very near the end of August we saw a few defaults materializing in the US loan market so that last-12-month default rate went from 0.3% at the end of July to 0.6% at the end of August. Some deterioration may come regarding CLO risk metrics in the coming months (higher CCC bucket for example) but we still expect such deterioration to be smooth. When considering risk measures, August was relatively stable but when considering broader credit markets we started seeing more upgrades than downgrades. In August, CLO trustee reports are showing again that CLO managers are, on average, able to build some par, reinvesting the few prepayments in loans at discounts. In the footsteps of most markets the loan markets rallied again in August and therefore CLOs followed. Through asset classes, the monthly performances** were: +1.5% for Bank Balance Sheet transactions, +4.6% for CLO equity tranches +3.3% for CLO debt -0.9% for Cash Corporate Credit and ABS (together representing 2.3% of NAV). The fund gained +3.0%, mainly driven by CLO equity holdings. The full report is attached to this release and will be available on Volta’s website shortly ( PERFORMANCE and PORTFOLIO ACTIVITYįor the second consecutive month, August saw a recovery from the losses faced in Q2 2022 with the Ukrainian crisis. NOT FOR RELEASE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR PART, IN OR INTO THE UNITED STATESĪXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for August. Volta Finance Limited (VTA / VTAS ) – August 20 2 2 monthly report
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