Volta Finance Limited Net Asset Value(s) as at 30 September 2026
Volta Finance Limited (VTA / VTAS)
September 2026 monthly report
NOT FOR RELEASE, DISTRIBUTION, OR PUBLICATION, IN WHOLE OR PART, IN OR INTO THE UNITED STATES
Guernsey, 29th October 2026
BNPP AM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for September 2026. 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 posted a net return of -0.4% for the month of September 2026. For comparison, both US and Euro High Yield markets were down over the same period, respectively -2.5% & -1.8% ****, while the Morningstar Leveraged Loan indices returned +0.2%*** in the US and +0.3%**** in Europe.
September was dominated by a sharp repricing of inflation and policy expectations as higher oil prices and renewed Middle East tensions pushed markets into a more volatile, headline-driven environment. Early hopes that moderating inflation might allow the Federal Reserve to remain on hold gave way to a more hawkish backdrop after stronger US inflation-related data and a renewed surge in energy prices. The ECB raised its deposit rate by 25bp and maintained a hawkish, data-dependent stance, while the Fed delivered its first-rate hike since 2023 and left the door open to further tightening. Government bond yields moved materially higher over the month, with long-dated US Treasury yields reaching multi-year highs, as investors absorbed a higher-for-longer rates outlook alongside persistent inflation risks. Although resilient growth and solid corporate earnings continued to provide some support, tighter financial conditions, elevated rate volatility and geopolitical uncertainty made for a more selective risk environment by month-end.
Against that backdrop, credit markets remained relatively orderly despite the rates shock, with spreads widening only modestly even as broader risk sentiment weakened. Credit resilience stood in contrast to the significant volatility in government bonds and equities, but the combination of higher real yields, rising funding costs and renewed inflation concerns increasingly weighed on valuations and reinforced the need for selectivity across risk assets. For structured credit, the month was therefore characterised less by fundamental credit deterioration than by the interaction between persistent macro resilience, higher energy-driven inflation risk and a more restrictive policy outlook.
We purchased EUR 7.3 million across three European single-B rated CLO tranches at discount margins of approximately 1,000 bps, as well as three minority CLO equity positions following the decrease in loans price. Volta is also a minority equity investor in a CLO that was reset during the period. We elected to contribute our pro rata share of the additional equity required for the transaction, while securing a 10 bps management fee rebate on the newly injected equity.
From a positioning perspective, we continue to scrutinize the market for opportunistic CLO equity investment while maintaining a greater allocation to mezzanine CLO tranches given the current level of market uncertainty. We also remain highly selective in terms of collateral manager selection. At the end of September 2026, the Fund held approximately EUR 33.4 million in cash and cash equivalents, providing capacity to deploy capital should attractive opportunities emerge during periods of market volatility.
Looking at the performance breakdown, Volta’s CLO Equity tranches returned -1.8%** while CLO Debt tranches returned +0.4% performance**. The fund generated c. EUR 19.9 million in interest proceeds over the last six months, representing around 16% of the latest NAV on an annualised basis.
As of end of September 2026, Volta’s NAV* was EUR 243.5mm, i.e. EUR 6.66 per share.
*It should be noted that approximately 1.02% of Volta’s NAV 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 equivalent % proportions of Volta’s NAV as of 31 August 2026 and 30 June 2026 were 1.00% and 0.02%, respectively.
** “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.
*** These figures are presented in USD. Source: BNPP AM – Bloomberg – Morningstar – September 30th, 2026
**** These figures are presented in EUR. Source: BNPP AM – Bloomberg – Morningstar – September 30th, 2026
CONTACTS
Investment Manager
BNP Paribas Asset Management Europe
Olivier Pons
Olivier.pons@axa-im.com
+33 (0) 1 44 45 87 30
Matthieu Laurence
Matthieu.laurence@axa-im.com
+33 (0) 1 44 45 88 82
Company Secretary and Administrator
BNP Paribas S.A, Guernsey Branch
guernsey.bp2s.volta.cosec@bnpparibas.com
+44 (0) 1481 750 850
Corporate Broker
Cavendish Securities plc
Andrew Worne
Daniel Balabanoff
+44 (0) 20 7397 8900
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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 BNP Paribas Asset Management Europe an investment management company with a division specialised in structured credit, for the investment management of all its assets.
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This press release is published by BNP Paribas Asset Management Europe (“BNPP AM”), 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 BNPP AM.
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. BNPP AM 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 BNPP AM. The historical success or BNPP AM’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 BNPP AM 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: BNP PARIBAS ASSET MANAGEMENT Europe, a company incorporated under the laws of France, having its registered office located at 1 boulevard Haussmann - 75009 Paris, registered with the Paris Trade and Companies Register under number 319 378 832, and a Portfolio Management Company, holder of AMF approval no. GP 96002, issued on 19 April 1996.
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