Volta Finance Limited

Net Asset Value as at 31 July 2020

Volta Finance Limited (VTA / VTAS) – July 2020 monthly report

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

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Guernsey, 12 August 2020

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

PERFORMANCE and PORTFOLIO ACTIVITY

In July the monthly performance, after considering the 11 cents per share dividend paid 29^th of July, is negative at -1.2%. Despite a flat performance at the asset class level, USD weakness had a negative impact as USD depreciated against EUR by 4.6% during the month while, after adjusting for hedging, Volta has a USD exposure close to 45%.

The monthly asset class performances** were, in local currency: -0.3% for Bank Balance Sheet transactions, +1.1% for CLO Equity tranches; -0.5% for CLO Debt; +5.9% for Cash Corporate Credit deals (this bucket comprises funds that have a one-month delay in publishing their NAV); and +1.7% for ABS.

In July, like the first month of every quarter, most of the CLO positions received their coupon payments. However, according to WellsFargo research, 24% of USD CLOs were suffering a breach of the Interest Diversion test as at the end of the month. Only one USD CLO position in Volta did not receive any cash flows (due to an IC test (Interest Coverage) breach). This position is a 2013 vintage position, the full AAA tranche has been amortized and the AA tranche will finish being amortized in October so that it is almost normal that cash flows from this position are close to zero. In normal market conditions, this position would have been called. We are working with the CLO manager to find a way/the timing for a partial call.

Except for this position, all CLO Equity and CLO debt held by Volta paid their coupons. However, it should be noted that CLO Equity payments were on average 30% lower than in April due to two technical effects:  firstly, lower short-term rates in the US, an impact that was beginning to be seen in January and April.  If and when rates go up, we will benefit from the opposite technical effect.  Secondly, since April, roughly 40% of the European loans elected to pay their coupon on a 6-month basis instead of the classic 3-month basis.  This effect will unwind with higher cash flows in October.