BNPP AM has published the Volta Finance Limited (LON:VTA) monthly report for March 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 -2.4% for the month of March 2026. For comparison, US High Yield bonds returned -1.2%*** and Euro High Yield bonds achieved -2.7%**** over the same period, while the Morningstar Leveraged Loan indices returned +0.6%*** in the US and -0.3%**** in Europe.
This month’s macroeconomic environment was primarily shaped by rising geopolitical tensions in the wake of the outbreak of war in Iran. The immediate disruption to shipping lanes and a sharp spike in oil prices — US crude surged from $87 to as high as $119 before retreating — have heightened inflation fears. European natural gas prices also soared as Qatar shut the world’s largest LNG export plant, further exacerbating energy market pressures. While the global economy appears able to absorb a moderate, temporary rise in energy prices, sustained increases would place renewed pressure on consumers and potentially delay anticipated monetary easing. Central banks remain cautious, with Federal Reserve Chair Jerome Powell highlighting the increased uncertainty around inflation and the need to keep rates mildly restrictive. The Fed left its projections for a rate cut in 2026 and another in 2027 unchanged, but traders have trimmed bets on easing for 2026. It was no surprise that markets were extremely reactive to geopolitical developments. Bonds and Equities sold off sharply on inflation concerns but markets staged a dramatic rebound after assurances from President Trump and the G7 that measures would be taken to secure shipping lanes and support energy supply, including the International Energy Agency’s largest-ever release of emergency stockpiles. Despite these interventions and developments through the month, volatility persisted and pushed credit markets wider.
In March, US leveraged loans showed the first signs of stabilization since the market upheaval triggered by AI disruption concerns in the Software sector. The recovery was tentative and uneven, characterized by a K-shaped pattern: higher-quality credits led the rebound, while distressed loans slightly increased, and spreads widened sharply. In Europe, the loan market faced significant challenges, primarily driven by macroeconomic and geopolitical tensions. Primary issuance was very limited, with new loan volumes around €2.5 billion, mostly from a single mega LBO (Electronic Arts). The overall volume remained subdued, reflecting cautious investor sentiment amid ongoing market volatility. The slowdown in primary supply led to in-creased activity on the secondary market, as many deals that had been priced but not yet closed were mainly ramped up through secondary purchases. This technical support helped maintain market stability despite broader headwinds.
As anticipated, CLO primary markets quickly wound down as volatility spiked. Limited new issuance and high levels of uninvested capital led investors to view volatility as an opportunity to buy risk at attractive discounts. Spreads widened compared to February, especially impacting high yield and lower-spread profiles, which became more vulnerable to price declines (although to a lower extent than Liberation Day).
In terms of trading activity, we have selectively deployed risk on B-rated European CLO tranches to capture double-digit returns (around 915 bps discount margin) and convexity (average cash price of around 93%) while maintaining a cautious stance given the potential tail risk. We also had to fund several funding requests in relation to one of our European warehouses that gradually ramps.
The fund generated more than EUR 20 million in interest proceeds over the last six months, which is about 17% of March’s NAV on an annualized basis.
In terms of performance breakdown, Volta’s CLO Equity tranches returned -3.7%** while CLO Debt tranches returned 0.3% performance**.
As of end of March 2026, Volta Finance’s NAV* was €237.5m, i.e. €6.49 per share.
*It should be noted that approximately 0.10% 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 28 February 2026 and 30 September 2025 were 0.08% 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 – March 31st, 2026
**** These figures are presented in EUR. Source: BNPP AM – Bloomberg – Morningstar – March 31st, 2026
