Net Asset Value as at 30 September 2023

Volta Finance Limited (VTA / VTAS) – September 2023 monthly report

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

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Guernsey, 16 October 2023

AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for September 2023. The full report is attached to this release and will be available on Volta’s website shortly (www.voltafinance.com).

PERFORMANCE and PORTFOLIO ACTIVITY

Including the dividend to be paid in October (record date in September), Volta Finance posted another positive monthly performance in September 2023 (+1.6%) and has now delivered a YTD performance of 18.6%.

Volta’s underlying sub asset classes monthly performances** performed as follows: +0.7% for Bank Balance Sheet transactions, +3.7% for CLO Equity tranches, -1.4% for CLO Debt tranches and -0.1% for Cash Corporate Credit and ABS. This month, being long USD against Euro provided circa +0.5% of performance.

September recorded another strong month for leveraged loans with US and European markets moving up again (ELLI was up 1.1% while US LLI was up c.1.0% according to Pitchbook LCD) even though some market softness started to show at the end of the month alongside other credit markets. This impacted some of our US CLO debt exposures that were marked lower at the end of the month.

In terms of cashflows, Volta received €0.8m of distributions through the month, and a cumulative total of €25.8m in cashflow generation over the last 6 months. In addition, Volta received some principal repayments from one Bank Balance Sheet transaction for €1.5m reducing further the Bank Balance Sheet exposure to 1.8%.

Regarding the European warehouse exposure, we can report that the CLO priced in September and is expected to close in November. The warehouse IRR is expected to be above 20% and Volta is rolling its current exposure into the CLO Equity and the CLO single B tranche. Overall, we expect over 15% IRR from the blended investment.

Through the month, we also partially sold 2 US CLO debts and opened another US warehouse to be able to benefit from market volatility.

As of end of September 2023, Volta’s NAV was €238.3m, i.e. €6.51 per share.

*It should be noted that approximately 1.48% 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 notes. The most recently available fund NAV or quoted price was 1.08% as at 31 July 2023, 0.40% as at 30 June 2023.