Net Asset Value as at 31 August 2023

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

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

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Guernsey, 18 September 2023

AXA IM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for August 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 is pleased to report another positive monthly performance in August 2023 (+1.3%) leading to a YTD performance of 16.6%.

Volta’s underlying sub asset classes monthly performances** were as follow: +1.6% for Bank Balance Sheet transactions, +1.4% for CLO Equity tranches, +1.1% for CLO Debt tranches and -8.6% for Cash Corporate Credit and ABS (which now represents c.1.5% of the fund’s NAV). This month, being long USD against Euro provided circa +0.35% of performance.

In August, US and European leveraged loan market prices moved up again (ELLI was up 1.48% while US LLI was up 1.17% according to Pitchbook LCD) as some CLO were ramping in preparation for a September launch and that some prepayments were also visible on the calendar.

In terms of cashflows, August is generally a slow month as most CLO paid in July. Still, Volta received €1.3m of distributions through the month, leading to €25.7m cashflow generation over the last 6 months. In addition, Volta received the principal repayment at par of one Bank Balance Sheet transaction for $8m resulting in Bank balance sheet exposure to reduce to 2.4%. Such proceeds will be reinvested in the CLO asset class through the month to come as Volta is transitioning to a pure CLO player (c.97.5% of the exposure today excluding cash).

Through the month, we remained active with €2.2m additional fundings to our European CLO warehouse, $1m invested in the opening of a new US warehouse as well as €6.5m of investments in European CLO debt tranches purchased in the secondary market.

As of end of August 2023, Volta’s NAV was €239.0m, i.e. €6.53 per share.

*It should be noted that approximately 6.41% of Volta’s GAV comprises investments for which the relevant NAVs as at the month-end date are normally available only after Volta’s NAV has already been published. Volta’s policy is to publish its NAV on as timely a basis as possible to provide shareholders with Volta’s appropriately up-to-date NAV information. Consequently, such investments are valued using the most recently available NAV for each fund or quoted price for such subordinated notes. The most recently available fund NAV or quoted price was 6.01% as at 31 July 2023, 0.40% as at 30 June 2023.