Volta Finance Limited - Net Asset Value as at 28 February 2021

Volta Finance Limited (VTA / VTAS) – February 2021 monthly report

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

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Guernsey, 11 March 2021

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

PERFORMANCE and PORTFOLIO ACTIVITY

Volta has continued to perform well with +1.0% in February, following +3.9% in January. This is despite headwinds in equity and public credit markets which were hesitating in front of growing uncertainty regarding the appropriate level for mid to long-term yields. As Volta is predominantly invested in floating rate instruments, the negative impact of rising long-term rates was largely avoided.

The monthly asset class performances** were: -0.7% for Bank Balance Sheet transactions, +1.5% for CLO equity tranches; +0.6% for CLO debt; +16.7% for Cash Corporate Credit deals (this bucket comprises funds that have a one-month delay in publishing their NAV); and 0.0% for ABS. The strong performance of the Cash Corporate Credit bucket reflects a sharp upwards revision to the valuation of illiquid and credit-sensitive positions in one US loan fund in which Volta has been invested since 2006. The main driver for this outperformance is the sharp monetary and fiscal stimuli currently in place in the US. However, the impact was not material for Volta as this bucket represents only 2% of Volta’s NAV.

In terms of fundamentals, in February, trailing-12-month defaults rates declined in loan markets (for the 4^th consecutive month). As at the end of February default rates were 3.2% and 2.1% respectively for US and European loans, way below the 13% and 10% rates that were originally forecasted by rating agencies for Q1 2021 when trying to measure the consequences of the Covid-19 crisis back in Q2 2020. Defaults are expected to continue materializing in loan markets through 2021 and 2022 but at a pace (probably between 2 and 4%) that is manageable for CLOs and should not trigger any cash flow diversions from the CLO equity positions held by the company.