Volta Finance Limited - Net Asset Value as at 29 February 2024

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

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

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Guernsey, March 18^th, 2024

AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for February 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 is pleased to report another positive performance in February at +1.0%, reflecting the price appreciation of the fund’s underlying portfolios through the month. For comparison, US High Yield returned +0.31% and European High Yield returned +0.35% over the same period.

The strong sentiment from January fed through February as major Credit indices like iTrax Xover hit 2yrs tights at +300bps. European loans were slightly down from 97.00px to 96.80px, although still significantly up year-to-date (96.00px as of Dec 2023). On the US side, loans recorded a 20 cents gain and reached 96.45px, their highest level since mid-2022. The momentum was evidently supported by a strong Q4 2023 US earnings season – proving once more the resilience of the US economic activity. Bonds yields continued to trend higher amid ongoing evidence of sticky core inflation and central banks’ hinting at potentially delaying rate cuts.

In terms of CLO issuance, the US and European primary markets have fully reopened. Issuance volumes have surged by +48% in the U.S., reaching $33.66 billion, and by +12% in Europe, totalling €5.84 billion compared to year-to-date figures for 2023. This impacted secondary as volumes of activity reduced in favor of the primary market and as spreads moved inside of primary (50bps for instance on CLO BB tranches).

Strategy in February was to take advantage of the strong momentum in both the Primary CLO market and Loans. We converted one of our US CLO warehouse investment into a New Issue US CLO transaction, from which we purchased an CLO Equity position ($7.93m invested) in the early days of February. Also, we continued to rotate from vintaged CLO debt tranches that had passed their reinvestment period into New Issue transactions as we purchased $6m of fresh US BBs and sold c.$5m of US CLO BB. Last but not least, we were able to participate in another US CLO Equity (c. $4.3m consideration) with upside scenarios in the 16-18% IRR range.