Volta Finance Limited - Net Asset Value as at 30 April 2023

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

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

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Guernsey, 12 May 2023

AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for April 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

Volta Finance’s performance in April was +3.02%; a solid return which confirmed that CLOs are relatively immune to the recent issues of the banking sector. The performance also stands at strong +8.9% year to date, a very good start for 2023.

Volta’s underlying sub asset classes monthly performances** were as follows: +3.8% for Bank Balance Sheet transactions, +3.4% for CLO Equity tranches, +2.0% for CLO Debt tranches and +9.1% for Cash Corporate Credit and ABS (which represent circa 2.0% of the fund’s NAV).

As hinted just above, the performances of all Volta’s sub-asset classes confirmed our view that those have no direct connections with the recent issues that shook the banking segment. We believe that the Credit Suisse situation was very specific hence would not lead to a wider contagion in Europe. We also believed that even though we may occasionally see some US regional banks in need of a rescue plan - most likely of far smaller size than SVB or First Republic - we shall not expect any domino effect in the US financial system either.

Looking at the macro implications of the above, our view is still that we may see US regional banks pushed to reduce some of the support they used to provide to specific businesses in the quarters/years to come. The areas under most scrutiny seem to be the CRE one as well as local/small businesses and it is reasonable to expect that a reduction in financial support will impact access to credit for these players. It may marginally increase the overall cost of credit for a substantial chunk of the US economy although we expect this to be partially offset by lower-than-expected interest rates.

In the end, the impacts for loans (those are broadly syndicated credits and do not depending on US regional banks) could be neutral: on one hand pressure from higher cost of credit but on the other hand the FED may stop hiking rates in May thus reducing the pressure from interest rate hikes on interest coverage ratios.