Volta Finance Limited Net Asset Value(s) as at 31 May 2026

Volta Finance Limited (VTA / VTAS)
May 2026 monthly report


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

Guernsey, June 26th, 2026

BNPP AM has published the Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) monthly report for May 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 +0.0% for the month of May 2026. For comparison, US High Yield bonds returned +0.5%*** and Euro High Yield bonds achieved +1.1%**** over the same period, while the Morningstar Leveraged Loan indices returned +0.5%*** in the US and +0.7%**** in Europe.

May was dominated by a renewed energy shock linked to the Middle East conflict, with disruptions around the Strait of Hormuz keeping oil prices at elevated levels and re-injecting inflationary pressures globally. This effectively stalled the disinflation trend, with inflation forecasts revised higher across regions and signs of broader cost pass-through emerging beyond energy, particularly in everyday consumption prices. Central banks turned more cautious: the Fed held rates but signaled a tightening bias if energy-driven inflation persists, while the ECB leaned hawkish and hinted a potential June hike. Growth expectations deteriorated modestly, especially in Europe where PMIs slipped toward contraction territory, highlighting the stagflation tilt of the shock. Equity markets remained resilient overall, supported by strong corporate earnings and AI-driven momentum, although higher-for-longer rates continue to weigh on duration-sensitive assets.

Looking at Credit markets, the rebound initiated last month continued over May as the Morningstar LSTA US Leveraged Loan Index rose by +0.5%, bringing the year-to-date return to +1.2%. We witnessed a similar pattern in Europe with the ELLI index increasing by +0.7% over the month, +1.5% on a year-to-date basis. CLO-wise, spreads continued to grind tighter across ratings, with low mezzanine tranches recouping the losses from the previous months. BBs and single-Bs also moved in respectively in the low-mid 500bps and mid 800bps, although we also notice strong transaction tiering with regards to the collateral pool they were exposed to.

In terms of activity, the fund remains committed into 2 European warehouses that have gradually ramped. Following the CLO debt spread tightening, we reset one of our US CLOs ($ 383k of additional equity required from Volta Finance to pay the fees and clean the portfolio) and launched the CLO marketing for one of our European warehouses. We also took profits on single-B risk that was trading above par and lost some BB risk following the redemption of the notes at par.

Looking at the performance breakdown, Volta’s CLO Equity tranches returned -0.8%** while CLO Debt tranches returned +1.1% performance**. The fund generated more than EUR 17.6 million in interest proceeds over the last six months.

As of end of May 2026, Volta’s NAV* was €246.6m, i.e. €6.74 per share.

*It should be noted that approximately 1.65% 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 30 April 2026 and 31 March 2026 were 0.08% and 1.57%, 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 – May 31 ^st , 2026

**** These figures are presented in EUR. Source: BNPP AM – Bloomberg – Morningstar – May 31 ^st , 2026

CONTACTS

Investment Manager
BNP Paribas Asset Management Europe
Olivier Pons
[email protected]
+33 (0) 1 44 45 87 30
Matthieu Laurence
[email protected]
+33 (0) 1 44 45 88 82        

Company Secretary and Administrator
BNP Paribas S.A, Guernsey Branch
[email protected] 
+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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