Volta Finance Limited - Net Asset Value(s) as at 30 April 2024

Volta Finance Limited (VTA / VTAS) – April 2024 monthly report

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

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Guernsey, May 21^th, 2024

AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for April 2024. The full report is attached to this release and will be available on Volta’s website shortly (www.voltafinance.com).

PERFORMANCE and PORTFOLIO ACTIVITY

Dear all,

Volta Finance recorded again a positive month in April at +1.3%, bringing the year-to-date return to +7.6%. For context, US High Yield returned -1.0% on the month and +0.5% year-to-date, while European High Yield was flat on the month (+1.6% YtD).

The credit markets experienced volatility in mid-April, leading to a sharp repricing that was partially retraced by month-end. The US 10-year bond yields increased to 4.70% from 4.20% at the end of March, challenging the soft-landing narrative due to latest economic data and concerns regarding the persistence of high rates. The Fed delivered a rather dovish message though, expressing confidence in their restrictive policy to bring inflation back to target. Earnings season showed opposite directions for average earnings growth in the US and Europe, but both regions beat expectations. Regarding the leverage loan markets, the Morningstar LLI and ELLI 12-month rolling default rates settled respectively at 1.31% and 1.48%, a testimony of companies’ ability to access financing. Pricing-wise, Euro Loans were up 50 cents at 97.15px while US Loans were slightly down (96.64px from 96.75px on the previous month).

CLO-wise, the broader market volatility impacted negatively CLO BB and single B tranches as well as CLO Equity tranches as risk premium rose. Volta Finance’s book was not immune and mark-to-market valuations for both the CLOs Debt and Equity pockets closed down on the month. However, Volta benefited from strong CLO Equity payments, reaching record levels in April (5-year highs in Europe, 8-year highs in the US). As a result, cashflow generation kept on being strong with €28.8m equivalent of interests and coupons over the last 6 months on an annualized basis (i.e. 22% of the April 2024 NAV).