Volta Finance Limited - Net Asset Value(s) as at 31 August 2024

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

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

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Guernsey, September 18^th, 2024

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

Dear investors,

Volta Finance recorded a net performance of +0.1% in August bringing the year-to-date return at +10.9%. This needs to be compared with broader Credit markets: US and Euro High Yield indices returned respectively +6.3% and 5.6% since January 1st, 2024.

August turned out to be quite the volatile month as global markets were impacted early on by rates hikes in Japan as well as July US Non-farm payrolls data, which came in far below expectations. Slower job growth coupled with rising unemployment at 4.3% - the highest reading since October 2021 - triggered a spurt in volatility as growth outlooks were back on focus. Sentiment improved when US job creation reports showed positive dynamics and wage growth; this paved the way for more confidence into the soft landing rhetoric and eased the markets’ nervousness. The FED also suggested potential rate cuts if necessary, providing further relief.

Credit markets reacted strongly to these macroeconomic concerns with High Yield indices moving up and down through the month. Similarly, the US CDX High-Yield experienced levels moving from +330bps to +382bps then +322bps at the end of the month. On the Loan side, Euro Loans closed slightly weaker, 10 cents down at 97.85% vs. July (Morningstar European Leveraged Loan Index), while their US counterparts were up at 96.75%.

No time off for Primary CLOs, circa USD 47bn of issuance in the US and EUR 4bn in Europe were recorded. IG spreads moved sideways with AAAs pricing +130bps context while non-Investment Grade BB-rated tranches were wider in the +[600-650]bps context in Europe and +[575-625]bps in the US. In terms of performance, we noted that CLO markets continued to outperform broader Credits on a year-to-date basis: US BBBs total returns reached +7.98% and BBs total returns +12.49%.