Volta Finance Limited - Net Asset Value as at 31 October 2024

Volta Finance Limited (VTA / VTAS)
October 2024 monthly report


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

Guernsey, November 19^th, 2024

AXA IM has published the Volta Finance Limited).

Performance and Portfolio Activity

Dear Investors,

Volta Finance recorded a net performance of +4.3% in October bringing the year-to-date return to +18.4%. This performance was primarily achieved via our CLO Equity exposure that generated strong distributions while prices remained broadly flat.

In terms of market activity, it felt like October displayed evidences of a "transition month", placed in between a very busy post summer run and the US presidential elections. The month was far from being non-eventful though, as the ECB reduced its depo rate by another 25bps to 3.25% while it became very clear that the Fed would cut its main rate by 25bps as well - which eventually happened early Novembre. Data dependency remained the preferred approach for both the Fed and the ECB despite both jurisdictions taking different paths in terms of employment, retail sales and company earnings.

Credit markets were relatively stable during the period as supportive central bank actions were overall a tailwind for risky assets. High Yield indices in Europe (Xover) were marginally wider in the 310bps context while US CDX High-Yield settled at c. +335bps (1bps tighter MoM). On the Loan side, Euro Loans closed slightly higher, 7 cents up at c. 97.65px (Morningstar European Leveraged Loan Index), while their US counterparts closed at 96.97px (+27 cents up). Primary CLO markets remained extremely busy, we recorded circa USD 60bn of issuance in the US and almost EUR 10bn in Europe. Spreads moved sideways across the capital structure and trading volumes reduced into month-end, as the US election was approaching.

Looking at fundamentals, both US and European default rates were slightly lower month-on-month respectively at 0.73% and 0.78% while the proportion of CCC-rated Loans within CLO collateral portfolios was slightly lower at 5.3% in US CLOs and slightly higher at 3.8% in Europe. Loan repayment rates continued to trend upwards at 27.4% in the US (flat YoY growth rate of the Loan market) and 14.2% in Europe (+6% YoY growth).

Cashflow generation through the quarter was in line with Q3 2024 at c.€11m, running at the highs of the last 5 years. Still, it is worth noticing that some post reinvestment period CLO Equities showed reduced cashflows as a result of loan prepayments in their underlying portfolios. Over the last 6 month period, the cashflow generation remained strong at c.€29m equivalent of interests and coupons, representing c.21% of the month's NAV on an annualized basis, post the recent uptick in Volta's NAV.

In terms of activity, we purchased 1 European CLO Equity in the secondary market for €2.5m with a 15% target return and invested a net additional amount of $2m in US CLO BB tranches at 660bps discount margin over SOFR, in addition to $1.7m additional funding in our US CLO warehouse. It is also worth highlighting the prepayment of €2m of our remaining bank balance sheet transaction (invested in 2018), Volta being still exposed to a residual amount of €0.1m as defaults are being workout. Volta is now 99% exposed to CLO (with cash to be reinvested in CLO).

Through the month, Volta's CLO Equity tranches (56% of Volta's portfolio) returned a +5.5% performance** while CLO Debt tranches (39% of Volta's portfolio) returned a +1.8% performance**, cash representing c.5% of NAV. The fund being c.26% exposed to USD, the recent appreciation of USD vs EUR had a positive impact of +0.7% on the overall performance.

As of end of October 2024, Volta's NAV was €273.3m, i.e. €7.47 per share.

*It should be noted that approximately 4.16% 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 4.16% as at 30 September 2024.

** "performances" of asset classes are calculated as the Dietz-performance of the assets in each bucket, taking into account the Mark-to-Market of the assets at period ends, payments received from the assets over the period, and ignoring changes in cross-currency rates. Nevertheless, some residual currency effects could impact the aggregate value of the portfolio when aggregating each bucket.

CONTACTS

For the Investment Manager
AXA Investment Managers Paris
François Touati
[e-mail]
[phone]

Olivier Pons
[e-mail]
[phone]

Company Secretary and Administrator
BNP Paribas S.A, Guernsey Branch
[e-mail]
[phone]

Corporate Broker
Cavendish Securities plc
Andrew Worne
Daniel Balabanoff
[phone]

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ABOUT VOLTA FINANCE LIMITED

Volta Finance Limited is incorporated in Guernsey under The Companies (Guernsey) Law, 2008 (as amended) and listed on Euronext Amsterdam and the London Stock Exchange's Main Market for listed securities. Volta's home member state for the purposes of the EU Transparency Directive is the Netherlands. As such, Volta is subject to regulation and supervision by the AFM, being the regulator for financial markets in the Netherlands.

Volta's Investment objectives are to preserve its capital across the credit cycle and to provide a stable stream of income to its Shareholders through dividends that it expects to distribute on a quarterly basis. The Company currently seeks to achieve its investment objectives by pursuing exposure predominantly to CLO's and similar asset classes. A more diversified investment strategy across structured finance assets may be pursued opportunistically. The Company has appointed AXA Investment Managers Paris an investment management company with a division specialised in structured credit, for the investment management of all its assets.

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ABOUT AXA INVESTMENT MANAGERS
AXA Investment Managers (AXA IM) is a multi-expert asset management company within the AXA Group, a global leader in financial protection and wealth management. AXA IM is one of the largest European-based asset managers with 2,700 professionals and €844 billion in assets under management as of the end of December 2023.

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This press release is published by AXA Investment Managers Paris ("AXA IM"), in its capacity as alternative investment fund manager (within the meaning of Directive 2011/61/EU, the "AIFM Directive") of Volta Finance Limited (the "Volta Finance") whose portfolio is managed by AXA IM.

This press release is for information only and does not constitute an invitation or inducement to acquire shares in Volta Finance. Its circulation may be prohibited in certain jurisdictions and no recipient may circulate copies of this document in breach of such limitations or restrictions. This document is not an offer for sale of the securities referred to herein in the United States or to persons who are "U.S. persons" for purposes of Regulation S under the U.S. Securities Act of 1933, as amended (the "Securities Act"), or otherwise in circumstances where such offer would be restricted by applicable law. Such securities may not be sold in the United States absent registration or an exemption from registration from the Securities Act. Volta Finance does not intend to register any portion of the offer of such securities in the United States or to conduct a public offering of such securities in the United States.

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This communication is only being distributed to and is only directed at (i) persons who are outside the United Kingdom or (ii) investment professionals falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the "Order") or (iii) high net worth companies, and other persons to whom it may lawfully be communicated, falling within Article 49(2)(a) to (d) of the Order (all such persons together being referred to as "relevant persons"). The securities referred to herein are only available to, and any invitation, offer or agreement to subscribe, purchase or otherwise acquire such securities will be engaged in only with, relevant persons. Any person who is not a relevant person should not act or rely on this document or any of its contents. Past performance cannot be relied on as a guide to future performance.

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This press release contains statements that are, or may deemed to be, "forward-looking statements". These forward-looking statements can be identified by the use of forward-looking terminology, including the terms "believes", "anticipated", "expects", "intends", "is/are expected", "may", "will" or "should". They include the statements regarding the level of the dividend, the current market context and its impact on the long-term return of Volta Finance's investments. By their nature, forward-looking statements involve risks and uncertainties and readers are cautioned that any such forward-looking statements are not guarantees of future performance. Volta Finance's actual results, portfolio composition and performance may differ materially from the impression created by the forward-looking statements. AXA IM does not undertake any obligation to publicly update or revise forward-looking statements.

Any target information is based on certain assumptions as to future events which may not prove to be realised. Due to the uncertainty surrounding these future events, the targets are not intended to be and should not be regarded as profits or earnings or any other type of forecasts. There can be no assurance that any of these targets will be achieved. In addition, no assurance can be given that the investment objective will be achieved.

The figures provided that relate to past months or years and past performance cannot be relied on as a guide to future performance or construed as a reliable indicator as to future performance. Throughout this review, the citation of specific trades or strategies is intended to illustrate some of the investment methodologies and philosophies of Volta Finance, as implemented by AXA IM. The historical success or AXA IM's belief in the future success, of any of these trades or strategies is not indicative of, and has no bearing on, future results.

The valuation of financial assets can vary significantly from the prices that the AXA IM could obtain if it sought to liquidate the positions on behalf of the Volta Finance due to market conditions and general economic environment. Such valuations do not constitute a fairness or similar opinion and should not be regarded as such.

Editor: AXA INVESTMENT MANAGERS PARIS, a company incorporated under the laws of France, having its registered office located at Tour Majunga, 6, Place de la Pyramide - 92800 Puteaux. AXA IMP is authorized by the Autorité des Marchés Financiers under registration number GP92008 as an alternative investment fund manager within the meaning of the AIFM Directive.

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Attachment

• Volta - Monthly report-October 2024 (https://ml-eu.globenewswire.com/Resource/Download/627947c9-cec2-4841-b463-edc776932309)