Axa fund reports all its CLO positions are now paying distributions

Axa’s Volta Finance fund, which invests in structured securities, has reported a €3.3 million increase in its gross asset value to €139.1 million in its December report. The manager has also reported that of its 53 positions in CLO debt or equity, all are now paying a coupon after Carlyle IX returned to cash-flowing status last month.   

Carlyle IX is a "par" CLO, a structure commonly used by Lehman Brothers which arranged the deal and similar to the Apex structure used by Wachovia. Rather than having junior overcollateralisation tests which shut off payments to the equity, these deals trap cash in a reserve account when they incur losses. For equity investors such as Axa the effect is the same as for a conventional CLO, in that equity distributions are suspended. However, par deals have typically been slower to start resuming equity distributions than other CLOs.

Axa adds that its holding of mezzanine CDO debt (38 CLO tranches and 2 CDO positions) is valued at an average price of 59 cents, identical to the market value of its 12 CLO equity investments.