Volta Finance Limited

Net Asset Value as at 31 January 2024

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

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

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Guernsey, February 16^th, 2024

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

Volta Finance started the year on a positive note as the fund achieved a performance of +2.8% in January 2024. This was the extension of Volta’s strong momentum as the fund recorded its seventh positive month in a row. The performance since July-end 2023 consequently reached double digits, at +11.1%.

CLOs delivered solid returns in January and outperformed traditional credit markets, especially US Corporates (+0.16%, ICE BofA Corp Index) and US High Yield (+0.04%, ICE BofA HY Index). While imminent rate cuts were priced-in, markets were caught off-guard by strong data releases and the subsequent uncertainty regarding central banks’ next move. Floaters such as CLOs fully benefited from the repricing of the rates curve, capturing more income on their floating leg while credit margins tightened due to the increased demand for the asset class given the superior risk/reward profile of CLOs compared to traditional credits.

Looking at CLO Equity, we closely monitor loan dynamics and particularly the current repricing action taking place both in the US and Europe. In fact, the proportion of loans trading above par topped at 40% in early January before tipping down to 13% at month-end in the US market / 17% in the European market. This should lead to more loan repricing activity for the months to come and thus we are now seeing the loans’ weighted average spread within CLO underlying portfolios being at their top.

Still, in terms of cashflows, January 2024 was a good month for Volta: it received the equivalent of €11.5m of interests and coupons (in line with the previous quarter). Over the last 6-month period, Volta received €27.2m of interests and coupons, ie a 21.6% annualized cash flow to NAV. This compares well with the 21.6% annualized cash flow to NAV measured as of January 2023 where the NAV per share was standing at 6.16.