BNPP AM has published the Volta Finance Limited (LON:VTA) 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
