REG-Volta Finance Limited Net Asset Value(s) as at 31 January 2026

Volta FinanceAnnouncement

24/02/2026 16:00

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


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

Guernsey, February 24th 2026

BNPP AM has published the Volta Finance Limited (the “Company” or “Volta
Finance” or “Volta”) monthly report for January 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 -1.3% for the month of January 2026. For
comparison, US High Yield bonds returned +0.5%*** and Euro High Yield bonds
achieved +0.7%**** over the same period, while the Morningstar Leveraged Loan
indices were down -0.3%*** in the US and -+0.3%**** in Europe.

Trade policy returned to the spotlight this month as Washington revived tariff
threats against its European partners, unsettling markets and reigniting
protectionism concerns. These tensions fed into discussions at Davos where
leaders warned that the Greenland situation and current rivalry between allies
were becoming material economic risks. On the monetary policy front, both the
FED and the ECB held rates steady stressing data dependence amid sticky
inflation and slower growth. Equity markets were consequently volatile through
January, stocks sold off mid-month on tariff headlines before partially
recovering – defensives and energy outperforming cyclicals & topicals
(Software…).

CLO markets also started the year on a busy note. It felt like primary markets
kicked off immediately, although the first US transaction actually priced on
January 9th, aligning with historical averages. In Europe, that feeling was
real as the first transaction came to the market on January 15(th), which was
nine days earlier than last year. Spreads quickly tightened across the capital
structure, Euro AAAs started 2026 at 127bps - down 5bps from December-end -
and closed January at +124bps. The rally was even more notable in mezzanine
tranches, with AAs narrowing to +165bps (from +200 in Dec), As to +190bps
(from +240), BBBs to +250bps (from +350), BBs to +460bps (from +620).
Single-Bs were the sole tranche that widened to +900bps (from +800). Secondary
markets also experienced increased activity especially in single-B and Equity
tranches, with trading volumes supported by strong investor demand and renewed
appetite from dealing desks to add risk onto their balance sheet. In a sharp
contrast, Loans globally experienced a difficult month as the Morningstar LSTA
Leveraged Loan Indices recorded negative returns both in Europe and the USA.
Pricewise, Euro Loans closed around 1.15 points down while US Loans
experienced a similar move, notably due to the AI-disruption thematic feeding
through the pricing of Software loans.

Portfolio Managers took advantage of the market conditions to reset two CLOs,
allowing the Equity tranches to benefit from favourable arbitrage and
optionality. These resets did not require any additional cash injections from
Volta.

In terms of trading, the Portfolio Managers added circa €4.5 million worth
of new investments. This included fundings into a warehouse investment as well
as a US CLO Single-B tranche that offered a favourable discount to par (97.00
cash price). The fund generated about €20 million in interest proceeds over
the last six months, which is about 16% of December’s NAV on an annualized
basis.

In terms of performance breakdown, Volta’s CLO Equity tranches returned
-3.5%** while CLO Debt tranches returned +0.9% performance**.

As of end of January 2026, Volta’s NAV(*) was €256.0m, i.e. €7.00 per
share.

*It should be noted that approximately 0.17% 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 December and 30 September were 0.09%
and 0.08%, 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 – January 31(st), 2026

**** These figures are presented in EUR. Source: BNPP AM – Bloomberg –
Morningstar – January 31(st), 2026

CONTACTS

For the 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

***** 
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.

*****

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.

*****

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.

*****
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.

*****