Volta Finance Ltd.

Interim / Quarterly Report • Mar 28, 2024

VOLTA FINANCE LIMITED

HALF-YEARLY FINANCIAL REPORT FOR THE PERIOD 1 AUGUST 2023 TO 31 JANUARY 2024

CONTENTS

Volta at a Glance	1
Chair's Statement	2
Investment Manager's Report	3
Executive Summary	11
Statement of Directors' Responsibilities	15
Condensed Statement of Comprehensive Income	16
Condensed Statement of Financial Position	17
Condensed Statement of Changes in Shareholders' Equity	18
Condensed Statement of Cash Flows	19
Notes to the Condensed Financial Statements	20
Alternative Performance Measures Disclosures	34
Board of Directors	36
Company Information	38
Glossary	39

VOLTA AT A GLANCE

The investment objectives of Volta are to seek 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. Volta currently seeks to achieve its investment objectives by pursuing exposure predominantly to CLOs and similar asset classes. A more diversified strategy across structured finance assets may be pursued opportunistically. Volta measures and reports its performance in Euro.

• NAV per Ordinary share as at 31 January 2024: €6.8867 (31 July 2023: €6.4510)
• Dividend per Ordinary share for the six month period ended 31 January 2024: €0.2650 (31 January 2023: €0.2500)
• Share price as at 31 January 2024: €5.10 (31 July 2023: €5.08)

Key Performance Indicators

NAV performance analysis for the six month periods ended 31 January 2024 and 31 July 2023 – contributions to NAV change (Euro per Ordinary share)

¹ Refer to the glossary on pages 39 to 40 for an explanation of the terms used above and elsewhere within this report. The calculation methodology of each APM has been disclosed on pages 34 to 35.

² Source: Bloomberg

³ The Company's annualised ongoing charges are calculated according to the methodology outlined on page 34 and differ to the costs disclosed within the Company's KIDs which follow the methodology prescribed by the PRIIPs rules. The Company's latest KIDs are available on the Company' website. The annualised ongoing charges ratio (including performance fees) for the six month period ended 31 January 2024 was 5.4% (31 January 2023: 2.1%).

CHAIR'S STATEMENT

Dear Shareholders

The first six months of Volta's financial year have continued to yield surprises. Few would have predicted the seemingly unstoppable march of US equity markets, against a backdrop of economic stagnation in Europe and the tragic events in the middle east.

The debt markets in which Volta operates are also in positive territory over the half year, perhaps surprisingly. The risk of global recession has eased although not fully abated and with inflation falling (albeit more slowly than central banks would like), employment markets remaining strong and the prospect of rate cuts in 2024, confidence has started to return to risk assets.

I am pleased to report that Volta's portfolio has continued to show resilience and has yielded 11.1% gross for the half year period (non-annualised). The impact of higher interest rates is a double-edged sword for Volta: higher rates flow through to improved cashflows as the CLO tranches are floating rate, but also put pressure on loan borrowers as their interest payments increase and debt service becomes more challenging. Despite this, defaults have been contained and whilst they have increased, they remain at or below long term averages.

The Company's NAV has grown to €6.89 at 31 January 2024, an increase of 6.8% on the €6.45 recorded at the year-end, 31 July 2023 and the dividend has been maintained at 8.0% of NAV, equating to an annualised yield of 10.6% of the share price. The share price has improved slightly (up by 2.0%) to €5.10 at 31 January 2024 from €5.08 six months previously. The share price discount to NAV is disappointing but it is against a backdrop of significant widening in investment trust discounts, particularly in alternative asset classes and Volta is by no means alone in facing this issue.

The Board and the Investment Manager continue to believe that the discount is paradoxical. The CLO market is pricing effectively as shown by the NAV, but Volta's share price does not appear to take into account the strong cashflows and regular income that the portfolio is generating. We monitor the discount closely, along with Volta's other indicators of financial health and we believe that the company offers an attractive opportunity at these pricing levels.

Turning to the CLO market, there has been an uptick in issuance, demand and valuations towards the end of the period. US banks have returned as buyers of AAA paper, helping AAA spreads to fall to circa 150bps and the US CLO market saw its highest month of issuance on record at \$12.5bn in January 2024. Europe has also seen a meaningful growth in issuance, coupled with a surge in demand for CLO paper which has seen spreads tightening across the capital structure.

More demand and tighter pricing are positive for CLO issuance but the enthusiasm should be tempered due to supply-side issues, namely that whilst CLO liability costs have reduced, so have leveraged loan spreads. The price of leveraged loan assets has risen and new issuance spreads have reduced, meaning the arbitrage between asset and liability spreads remains finely balanced and equity returns are somewhat less than many managers would wish for. A significant portion of CLO Equity has been placed in recent times with managers' own funds or captive investment vehicles, rather than truly third party investors such as AXA IM and Volta. This creates value for independent investors such as Volta, which can look across the entire market of primary and secondary CLOs, debt and equity, Europe and the US and seek out the best opportunities in a way that captive funds cannot.

We continue to believe in the integrity of CLO structures, which have shown themselves to operate in a predictable manner in both benign and challenging markets. Sentiment can and does affect market pricing of the underlying assets and Volta's share price but the payment priorities and structural protections embedded in these funds hold firm and good fundamental credit investments will continue to perform.

The Board is delighted to announce a realignment of Volta's fee arrangements, which was communicated publicly post the reporting period and will take effect from 31 March 2024. In agreement with AXA IM, the threshold of the tiered management fee has been lowered and the annual performance fee structure has been enhanced. The management fee amendment will bring an immediate benefit to Shareholders and will see a notable reduction should the Company grow. The revised performance fee arrangement will continue to provide alignment of Shareholders' interests alongside AXA IM, with an improved High Water Mark arrangement. The Board believes the changes are in the interests of all Shareholders and should allow the Company to appeal to new investors.

We said goodbye to Mr Graham Harrison in December 2023 as he reached the end of his nine year tenure with Volta. Graham has made a huge contribution to Volta's Board and we thank him for his wisdom, insight and support over many years. Ms Joanne Peacegood joined the Board in 2023 as part of our succession planning and to ensure a smooth transition, so with Graham's departure, the Board has returned to its usual number of four directors.

In closing, I remain positive about Volta's prospects over the coming months, the strength of the AXA IM team managing its assets, the strong cashflows and high cash dividends that it pays. I believe that through the diversification and asset picking skill that our Investment Manager brings, Volta is robust as a long standing and important investor in this alternative asset class. I thank you for your continued support and please do not hesitate to contact me through the Company Secretary.

Dagmar Kershaw Chair 27 March 2024

INVESTMENT MANAGER'S REPORT

At the invitation of the Board, this commentary has been provided by AXA Investment Managers Paris S.A. ("AXA IM") as Investment Manager of Volta. This commentary is not intended to, nor should be construed as, providing investment advice. Potential investors in the Company should seek independent financial advice and should not rely on this communication in evaluating the merits of investing in the Company. The commentary is provided as a source of information for Shareholders of the Company but is not attributable to the Company.

KEY MESSAGES FROM THE INVESTMENT MANAGER

As the Investment Manager, we are glad to report that through the last six months, Volta achieved an 11.1% non-annualized performance fuelled by both a supportive macro environment as well as strong loan and CLO market technicals. Volta is now a quasipure CLO vehicle, investing in CLO Equity tranches and CLO Debt tranches. Through the semester, Volta kept a high level of cashflow generation at circa 21.6% while improving its NAV (from €6.45 to €6.89) and providing €0.265 of dividend through the six month period.

1. Macro review

Looking in the rear view mirror, the last six months were positive for financial markets, but full of uncertainties which may also drive the year to come.

Firstly, most western economies managed to avoid a recession although this was not priced in at the end of July 2023:

• In the US, consumers remained the locomotive of the US economy while the unemployment rate and jobless claims stayed low. This alongside a core inflation heading back to circa 3.0% paved the way for strong economic prints. US GDP closed the year at + 2.5%¹ .
• In Europe and in the UK, core inflation decelerated (3.3% in Europe largely driven by base effects in energy). Services held up the economy in a cycle where manufacturing showed no sign of turnaround. The Eurozone avoided recession while Germany and the UK were in a technical one.
• China's recovery was uneven, even though its 2023 GDP landed as expected at 5.3%. The property downturn put pressure on the economy after a prolonged lock-down period due to COVID.

From the market standpoint, the uncertainty came from the ability of central banks to contain inflation and whether the rates policy pivot, led by the US Federal Reserve, would happen in March 2024. In fact, the pricing of the March 2024 potential pivot drove most of the rate rally that occurred through Q4 2023 and provided a great outcome for bonds.

Since then, western banks' efforts have been focused on containing investor expectations of an upcoming reduction cycle, on the basis that inflation may be stickier than initially expected.

Also, market participants are now trying to forecast where the ultimate long term interest rate will settle. Provided that no external shock happens, the post-GFC 'zero rate policy' is now a thing of the past. From today's perspective, even if inflation is not yet contained and may even be bouncing back at a higher level than central banks' targets, short-term rates provide a quite restrictive landscape for the economy as inflation recedes: balance sheets of highly levered corporates as well as Commercial Real Estate properties are under pressure. Low Debt Service Coverage ratios due to elevated base rates are one while some businesses will have trouble to pass additional price increases to the end consumers. At the time of writing, AXA IM Research Institute is expecting the pivot to come through the June meetings for both the US and European markets.

The decoupling between the US and Europe for 2024 is also noteworthy: both regions are entering an election year but from a different initial economical spot.

The US is implementing the Inflation Reduction Act ('IRA'), reshoring activities and potentially looking to continue on a fiscal expansion at a time where growth is slowing but still has momentum.

Europe has less room to maneuver on the economic front: growth is still expected to be quite low, inflation risk is driven by second wave effects on energy and wages and fiscal consolidation looks to be back on the agenda.

On the geopolitical scene, both regions may react very differently to the tensions in the Middle East, Ukraine or in terms of relationships with China depending on the upcoming elections outcome.

As a result, the direction of travel may well still be driven by the ability of central banks to tame inflation by 2025 as well as the absence of black swan events at a time where the geopolitical equilibrium appears fragile.

2. Loan asset class review

After the difficulties of 2022, returns on equities and bonds were once again positive. High-yield bonds and leveraged loans generated double-digit returns in 2023, less than equities but outperforming investment-grade credit. In January 2024, this pivot-led rally took a pause, with return being mostly driven by the carry of the loan asset class. Through the last six months, the leveraged loan market moved from 94.83% to 96.27% in the US market and from 95.26% to 97.02% in Europe. The higher for longer rate thesis is still expected to play positively for returns from credit in general and for leverage loans in particular given their floating rate nature, providing support for Volta's cashflow profile.

¹ Source: www.bea.gov –'GDP, Fourth Quarter and Year 2023 (Advance Estimate) – Jan 25th, 2024'

Volta Finance Limited Half-Yearly Financial Report 2024 3

2. Loan asset class review (continued)

In terms of flows, the market remained in net negative territory through the semi-annual period and despite a very busy primary issuance in January 2024 (the busiest over the last seven years according to Morningstar LCD), this issuance was mostly made up of refinancing and repricing activity from corporates and not from new issuance. This resulted in much of the loan asset class trading very close to par. That, coupled with circa 40.0% of the US market trading over par at the beginning of January 2024, has created a window of opportunity for many corporates to return to the capital markets and issue fresh debt in favourable market conditions for borrowers. We have seen a reversal in trend for private credit, with more borrowers returning to the broadly syndicated loan market for issuance, but it has become clear in recent months that the distinction between the two markets has become somewhat blurred.

Source: AXA IM Alts, Pitchbook LCD Morningstar LSTA US Leveraged Loan Index – Data through Jan. 31, 2024

Turning to fundamentals, the leveraged loan default rate was contained in terms of principal amount between 1.5% to 2.0% when looking at the Morningstar LSTA US and European Indices, levels similar to end of July 2023. However, an increase in the number of defaulted issuers is worth highlighting. In fact, in an environment where GDP growth was positive and where less than 8.0% of the US market and 4.0% of the European market are due to mature before 2026, the key metric currently driving default rates is the Debt Service Coverage. Looking at Q3 2023 compared to the previous quarter, interest expenses are still running higher (+4.1%¹ ) and average coverage has decreased by -0.1x¹ . Should the pivot timetable currently expected by the market occur, a further rally should come from the loan market, helping the most vulnerable borrowers. Conversely, should this pivot take longer to materialise, this may well put pressure on the market given that the pivot is priced in for most borrowers.

¹ Source: JP Morgan / Capital IQ; Bixby Research and Analytics Inc. – 3Q23 Leveraged Loan Credit Fundamentals

Volta Finance Limited Half-Yearly Financial Report 2024 4

2. Loan asset class review (continued)

Source: AXA IM Alts, Pitchbook LCD Morningstar Leveraged Loan Indices – Data through Jan. 31, 2024

3. CLO market review

2024 started on a positive note, we recorded €2.2bn of CLO issuance in Europe in January 2024, split across three New Issue transactions and two Resets. This was roughly twice as much as the same period last year and just shy of the €2.5bn issued in January 2022. AAA spreads dropped significantly from +175bps (December 2023) to +150bps. BB spreads tightened by 155bps to reach +670bps from +825bps in December.

On the other side of the Atlantic, New Issue volumes reached USD 12.5bn from 29 individual transactions (including Mid-Market CLOs), which is the highest-ever amount of issuance for a January month. Managers were also active repricing older vintages as eight outstanding CLOs were Reset totaling USD 3.6bn, while another USD 1.0bn were refinanced with lower coupons. The tightest New Issue transaction broke the +150bps mark with a +148bps print on AAAs while BBs managed to print inside 600bps at +590bps (standard 25-year reinvestment / 2-year non call structure). This move was driven by surging investor demand, including US banks returning as major AAA buyers.

The positive momentum spread into the secondary markets as demand for bonds further pushed spreads tighter and triggered significant trading volumes. Spread-wise, BB-rated tranches traded inside +700bps in Europe while superior US profiles were in the +600bps range.

Looking at the market from the lens of Equity investors, investments performed better in 2023 compared to 2022 with full year 2023 Equity cashflows returns standing at 14.15% in 2023, up from 13.3% the year before (source: JP Morgan, based on 1,671 US broadly syndicated loan CLOs and excluding static transactions). Naturally there was dispersion in Equity performance depending on transactions' vintage and structure. Newer CLOs have cleaner portfolios in terms of credit risk and were not impacted by amortizations to the same extent as older/post-reinvestment period CLOs which saw their managers restricted in their ability to trade assets.

Looking at Equity distributions for January 2024 gives a good indication of the direction of travel for the year ahead. Q1 2024 US CLO Equity cashflows will be on average 3.4% based on their January 2024 payment, slightly shy of the last three quarters of 2023 (4.07% in Q4, 3.89% in Q3 and 3.97% in Q2) but higher than the first quarter of 2023, hinting at some seasonality factors. The dispersion by vintage expressed above was still at play as older & amortizing transactions returned on average 2.1% in January 2024 versus 4.0% for the deals still within their reinvestment period (JPM research, Feb 2024).

3. CLO market review (continued)

Source: AXA IM Alts as of January 2024

Through the semester, the scarcity in supply had a positive effect on spreads as all tranches tightened substantially, driving CLOs' weighted average cost of capital lower through the period. Loan spreads also recorded exceptional performance whilst the price discount in Primary eroded. As a result, although improving, the arbitrage remained under pressure while the NAV of CLO Equities improved.

4. Portfolio review

After a 24.5% NAV performance through the financial year ended 31 July 2023, Volta has delivered a 11.1% performance through its latest semi-annual period.

This was fuelled by the strong returns of the CLO investments: Volta's portfolio consists of 99%¹ CLOs, corresponding to 83 different investments and over 1750 different issuers² . It is split across 37 different CLO managers.

GENERATION OF CASH FLOWS AND PROJECTED YIELD

Volta's assets generated €27.2m of interest or coupons over the semi-annual period (an annualized 21.6% of the 31 January 2024 NAV). As such, it is a +7.3% increase of the cashflow generation since the end of the financial year ended 31 July 2023.

Source: AXA IM Alts / IntexCalc – January 2024

Both CLO Debt tranches (43.1% of Volta's CLO investments) that offer a floating rate exposure and CLO Equities (56.9% of Volta's CLO investments) have contributed to such increase.

In terms of projected yield, based on end of January 2024 prices, the gross projected yield in Euro of Volta's invested assets is 17.3%: - circa 21.0% for Volta's CLO Equities investments

• circa 13.0% for Volta's CLO Debt investments

¹ Outside of cash and other expenses

² Source: AXA IM Alts, IntexCalc as of January 2024

4. Portfolio review (continued)

CHANGE IN ALLOCATION

Over the last six months, the Company invested circa €36.4m (circa 14.5% of its 31 January 2024 NAV) into:

• 3 warehouse investments for a total amount of €8.4m equivalent. The European warehouse has transitioned into a €7.8m CLO Equity and a €3.9m CLO single B investment for Volta with target IRR in excess of 15.0%. The 2 US warehouses have been slowly ramping, mostly in primary, through the period.
• 3 US CLO Debt tranches for \$8.9m with a target yield of circa 11.0% in Euro.
• 11 European CLO Debt tranches for a total amount of €19.8m.

Source: AXA IM Alts / IntexCalc – January 2024

These changes in allocations were mostly a reduction in BBS assets for an equivalent of €9.5m and from rotation of the CLO Debt assets for €11.7m equivalent. In fact, we took the opportunity of the supportive leverage loan market to improve the liquidity of our US CLO mezzanine investments and to rotate from positions with low probability of being called in the near term towards CLOs with a long reinvestment period as discussed in our Annual Report and Audited Financial Statements for the year ended 31 July 2023. At this point, we now expect some of the reinvestments to be made in the US market rather than Europe as we already benefited from most of the pull-to-par on the European CLO mezzanine tranches and see opportunities in the US market.

Regarding our ESG journey, we are glad to report that all investments made in 2023/2024 include some industry exclusions and engagement of CLO managers into ESG considerations. The average ESG score of Volta's purchased assets since 31 July 2023 stands at 7.15 (10 being the highest grade and 0 the lowest) while the rating of the overall CLO book invested by Volta stands at 5.63 (from 5.09 as per our last communication). See 'ESG considerations' below for more information.

4. Portfolio review (continued)

RATE EXPOSURE

Regarding the rate environment, we are long a floating-to-fixed rate swap maturing in October 2027. This position had a positive contribution of +0.3% performance through the period. It represents less than 1 year of duration. Fundamentally, we believe that what may really affect Volta's performance is not inflation or rate increases but a recession and the materialisation of defaults. If such a negative situation was to occur, we believe that this position would perform well and provide more ability for the Company to reinvest.

CURRENCY EXPOSURE

Our currency strategy is to limit our currency exposure, whilst minimising any potential margin call, by hedging non-Euro currency risk. Structurally, we have been selling forward USD against Euro to limit Volta's USD exposure despite having 49.5% of our assets in USD. Through the semi-annual period, we kept our residual exposure to USD assets at circa 23.0%. We are conscious that being fully hedged (having no more USD exposure) would be too costly in terms of cash to be kept covering potential margin calls. We believe that we were right to accept some volatility coming from the remaining currency exposure instead of suffering from the cash drag on a long-term basis.

5. Portfolio stress scenarios

Looking at potential stress scenario for our CLO portfolio, we have run the following scenarios to understand the level of risk inside Volta's CLO book:

• Base case: an instantaneous 2.0% increase in CCC rated assets and defaults to materialise in relation with such CCC bucket and current WARF (Weighted Average Risk Factor that measures the average rating of each loan pool). On average for all positions (mixing USD and EUR positions) this showed an average 2.4% default rate every year for the next 3 years
• Stress 1: an instantaneous 3.0% increase in CCC rated assets (some CLOs will then exceed the classic 7.5% authorised CCC bucket) and defaults to materialise in relation with such CCC bucket and current WARF. On average for all positions (mixing USD and EUR positions) this showed an average 4.3% default rate over the next 2 years
• Stress 2: an instantaneous 6.0% increase in CCC rated assets (all CLOs will then exceed the classic 7.5% authorised CCC bucket) and defaults to materialise in relation with such CCC bucket and current WARF. On average for all positions (mixing USD and EUR positions) this showed an average 6.2% default rate over the next 2 years

Below are the results of the tests that we carried out in January 2024 using these 3 scenarios (for all positions we start from their current situation and shock them with the above parameters):

	Projected yield (From NAV value)
	Base case	Stress 1	Stress 2
USD Equity	21.6%	7.2%	2.6%
EUR Equity	21.2%	13.1%	9.6%
USD Debt	14.6%	14.5%	12.6%
EUR Debt	11.3%	11.4%	11.2%
Average for CLOs	17.3%	11.5%	9.0%

Source: AXA IM Alts / IntexCalc – January 2024

With the base case scenario, no position is suffering any diversion of payments and the projected IRR for Volta CLO book is 17.3% (from the end of January NAV). Considering the fact that the share price is trading at a significant discount from the NAV, the projected IRR for Shareholders is close to 22.0%.

Taking "Stress 1" into account, there is a little diversion of cashflows for some CLO Equity positions and the few EUR B rated CLO Debts tranches that Volta holds are suffering some delay in their coupon payments so that the projected IRR declines, on average, for the whole CLO book, to a still attractive 11.5%. Under "Stress 2", the level of default over the next 2 years would be greater than what was seen during the GFC. In this scenario, the IRR will be dependent on the reinvestment opportunities and the level of discount associated.

5. ESG considerations

AXA IM has been engaged in Responsible Investment for over two decades, joining and being an active member of various initiatives.

AXA IM's first Responsible Investment mandate was awarded in 1998, AXA IM then became UN PRI signatory on the 29 of May 2007 and has received since then a (A+) rating – the highest – 7 times. AXA IM was still rated A+ following a full review from UN PRI in 2021 (UN PRI since then abandoned this ratings approach). AXA IM is also a founding member of the Net Zero Asset Managers initiative and was awarded best-in-class ("Avant-Gardist rank") by H&K Responsible Investment Brand (2020) recognising that both its commitments and the architecture that is in place are industry leading.

In terms of engagement, AXA IM relies on its stewardship strategy to push investee companies to address key ESG risks and implement best practice. A strong focus is to engage directly with issuers across the globe whilst aiming at stirring our partners towards stronger practices in terms of Sustainable Development.

5. ESG considerations (continued)

In terms of climate, AXA IM has made a few key commitments to support the AXA Group's ambitions to tackle the impact of climaterelated risks. Our strategy is aligned with the framework proposed by the Task Force on Climate-related Financial Disclosures.

Its recommendations specifically state that organisations consider a set of scenarios, including a "2°C or lower" scenario, in reference to the 2015 Paris Agreement. We have committed to reducing greenhouse gas emissions across all assets to net zero by 2050 or sooner. This forms a part of our membership of the Net Zero Asset Managers Initiative – an industry collaboration that supports global efforts to limit warming to 1.5°C. This means we will be working closely with our parent company, AXA Group, whose assets we manage and in partnership with asset-owner clients on analysis, reporting and changes to investment portfolios.

In relation to Volta's investments, a similar statement can be made as progress on that front has been steady over the last few years. Two main axes have been actioned to achieve a better ESG coverage in Volta's investment landscape: implementing relevant and comprehensive Industry Exclusions as well as encouraging CLO managers to adopt best practices.

AXA IM is systematically pushing for industry exclusions when investing in new CLO positions. To have a pragmatic approach, we separated our exclusion list in two. The first part of the list references our mandatory exclusions which we impose to all Primary investments: Controversial Weapons, Thermal Coal, Oil & Gas (sands/shale and tight reservoirs), Arctic Oil, Non-Sustainable Palm oil, Soft-Commodity trading, Land Use Biodiversity & Forests, UNGC violations, Tobacco and Coal mining. If those exclusions are not met, no investment will take place. The second part of the exclusion list – although not mandatory - is highly recommended and deals with Endangered Wildlife, Animal Welfare, Private Prisons, Gambling, Predatory/Pay-Day Lending, Opioid, Banned Pesticides/hazardous Chemicals, Pornography & Prostitution and Civilian Weapons. It is fair to recognise that we have no difficulties imposing the first list and a significant portion of the second list to European CLO managers although, despite significant improvements, it is still challenging to gain acceptance from US CLO managers for such exclusions¹ .

Since the beginning of 2021, all new CLOs we invested in through the primary market have incorporated most of the above exclusions. AXA IM's exclusion list evolved over the years with newer investment scoring much better than older ones as they have more substantial exclusion wordings.

In parallel, we are conducting meetings with CLO managers to update our understanding of their practices regarding ESG/Responsible Investment. Since 2023, we cover 100.0% of our overall CLO AUM. This is up from 80.0% at the end of 2022.

Through these meetings and the pressure we exert on third-party CLO managers, not only do we promote what we consider best practices, but we are also trying to limit downside risks for our investors. While there are some disagreements regarding what should be considered as 'best practices', we can testify that all the CLO managers that we work with share our view that not selecting credits with non-financial sustainability risks must be incorporated into the investment process. Lending money to companies that may find difficulties in financing their businesses in the coming years because of sustainability-related matters should be avoided. On top of the traditional financial measures of profitability/growth, CLO managers have developed tools/processes to avoid lending to companies that may be at the centre of future controversies. It is now fully part of our risk-management processes.

¹ Please refer to Sustainability Policies and Reports | AXA IM Corporate (axa-im.com) for more information.

Volta Finance Limited Half-Yearly Financial Report 2024 9

5. ESG considerations (continued)

6. Outlook and investment strategy

From today's perspective, central banks are still proving to be 'data dependant' regarding future hikes and are providing sometimes bearish and sometimes hawkish statements. Markets, on their side, need to kick the can down the road and are now pricing the rate pivot to start by the end of H1 2024: inflation is proving to be stickier than initially thought.

We have not changed our view: this should prove positive for Volta. Default rates should be kept around historical levels (between 2.5% - 3.5% annual equivalent) over the next semi-annual period and higher for longer interest rates should benefit our floating rate assets.

Looking ahead, we believe that selection, whether based on the manager or/and the deal's vintage, will be paramount to future performance. We favor CLO transactions with clean collateral portfolios that limit tail risks whilst distributing superior cashflows, bearing in mind that the recent improvements in the near-term maturity wall for Leveraged Loans is – although reducing Weighted Average Spread – positive for CLO Equity performance.

In this environment, given the high level of cash generation coming from the portfolio, we are still looking to be opportunistic with investments in CLO Debt tranches, CLO Equities and first loss warehouse investments and will look to deliver performance through strong carry from the portfolio as the pull-to-par on CLO Debt is mostly realized.

AXA INVESTMENT MANAGERS PARIS 27 March 2024

EXECUTIVE SUMMARY

Introduction

This report is designed to provide information about the Company's business and results for the six month period ended 31 January 2024. It should be read in conjunction with the Chair's Statement and the Investment Manager's Report which give a detailed review of investment activities for the period.

Company Summary

The Company is a limited liability company registered in Guernsey under the Companies (Guernsey) Law 2008 (as amended) with registered number CM45747. The registered office of the Company is BNP Paribas House, St Julian's Avenue, St Peter Port, Guernsey, GY1 1WA, Channel Islands.

The Company is an authorised closed-ended collective investment scheme in Guernsey, pursuant to the Protection of Investors (Bailiwick of Guernsey) Law, 2020 (as amended). The Company's Ordinary shares are listed on Euronext Amsterdam and on the premium segment of the Official List of the UK Listing Authority and are admitted to trading on the Main Market of the London Stock Exchange. The Company's home member state for the purposes of the EU Transparency Directive is the Netherlands. As such, the Company is subject to regulation and supervision by AFM, being the financial markets supervisor in the Netherlands.

Purpose, investment objectives and strategy

The Company exists to provide Shareholders with access to a broad range of structured credit investments actively managed by AXA IM. Harnessing AXA IM's expertise, the Company currently invests predominantly in CLOs and similar asset classes with the objective of providing Shareholders with a regular and high level of income and the prospect of modest capital gains over the investment cycle. A more diversified strategy across structured finance assets may be pursued opportunistically.

The Company's investment objectives are to seek to preserve 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.

Subject to the risk factors described in the 'Principal and Emerging Risk Factors' section and in note 15 of the Company's Annual Report and Audited Financial Statements for the year ended 31 July 2023, the Company currently seeks to attain its investment objectives as described above. The Company's investment strategy focuses on direct and indirect investments in and exposures to, a variety of assets selected for the purpose of generating cash flows for the Company. The assets that the Company may invest in either directly or indirectly include, but are not limited to, corporate credits; sovereign and quasi-sovereign debt; residential mortgage loans; commercial mortgage loans; automobile loans; student loans; credit card receivables; leases; and debt and equity interests in infrastructure projects.

The Company's approach to investment is through vehicles and arrangements that essentially provide leveraged exposure to portfolios of such Underlying Assets. In this regard, the Company reviews the investment strategy adopted by AXA IM on a quarterly basis. The current investment strategy is to concentrate on CLO investments (debt/equity/warehouses). There can be no assurance that the Company will achieve its investment objectives.

Director interests

The Board comprises four independent Directors: Mr Stephen Le Page, Ms Yedau Ogoundele, Ms Dagmar Kershaw and Ms Joanne Peacegood. Mr Graham Harrison retired as Director from the Board on 6 December 2023.

All the Directors are members of the Nomination Committee, Management Engagement Committee and Remuneration Committee. All of the Directors, with the exception of Dagmar Kershaw, are members of the Audit Committee.

As at 31 January 2024, the Directors held the following number of Ordinary shares in the Company:

Director	Director holdings in the Company's Ordinary shares
Stephen Le Page	47,970
Dagmar Kershaw	9,605
Yedau Ogoundele	4,598
Joanne Peacegood	1,085

No Director has any other material interest in any contract to which the Company is a party. Information on each Director is shown on pages 36 and 37.

EXECUTIVE SUMMARY (CONTINUED)

Director interests (Continued)

Table of Directors' remuneration

Component	Director	Fee entitlement for the financial year ending 31 July 2024 (€)	Purpose of reward
Annual fee	Chair of the Board	€100,000	For commitments as non executive Directors
	All other Directors	€70,000
Additional	Chair of the Audit Committee	€15,000	For additional responsibilities
annual fee	Chair of the Remuneration Committee	None	and time commitment
	Chair of the Nominations Committee	None
	Chair of the Management Engagement Committee	None
	Senior Independent Director	None

Further information on the Directors' remuneration is detailed in note 6.

Principal and Emerging risks and uncertainties

When considering the total return of the Company, the Directors take account of the risks that have been taken in order to achieve that return. The Directors have carried out a robust assessment of the principal and emerging risks facing the Company including those which would threaten its business model, future performance, solvency or liquidity.

The following risk factors have been identified:

Strategic risks

Credit risk

• The risk that the credit quality of the underlying loans or financial assets within the investment portfolio deteriorates, leading to defaults and/or investment losses, a reduction in cash flows receivable and a fall in the Company's NAV; and
• The risk of a counterparty default leading to a financial loss for the Company.

Market risk

• The impact of movements in market prices, interest rates and foreign exchange rates on cash flows receivable and the Company's NAV;
• The risk that unhedged currency exposures may lead to volatility in the Company's NAV; and
• The risk of severe market disruption leading to impairment of the market value and/or liquidity of the Company's investment portfolio.

Re-investment risk

• The ability to re-invest in investments that maintain the targeted level of returns at an acceptable level of risk.

ESG risk

• Climate change may impact individual borrowers adversely and may also have adverse macroeconomic impacts such as higher inflation. There is also the possibility of distortions to capital flows; and
• The risk that the Company, through AXA IM, does not engage sufficiently with managers around ESG factors and invests in managers and assets which fail to meet contractual, legal and/or reporting standards around ESG factors. Such assets could be deemed ineligible in their CLO funds and suffer reductions in market value.

Preventable risks

Liquidity and going concern risk

• The risk that the Company is unable to meet its payment obligations and is unable to continue as a going concern for the next twelve months.

Operational risk

• The risk that the Company, through its service providers, fails to meet its contractual and/or legal or regulatory reporting obligations, resulting in sanctions, financial penalties and/or reputational damage; and
• The risk that service providers will be disrupted by factors outside of their control such as lockdowns, outages or other widespread unforeseen events.

Valuation of assets

• The risk that the Company's assets are incorrectly valued.

Investment Manager risk

• The risk that the Investment Manager may execute its investment strategy poorly.

Key person risk

• The risk that the Investment Manager resigns, goes out of business or exits the Company's asset classes and is not replaced by personnel of an equal calibre and experience.

EXECUTIVE SUMMARY (CONTINUED)

Principal and Emerging risks and uncertainties (Continued)

Preventable risks (continued)

Legal and regulatory risk

• The risk that changes in the legal and regulatory environment, including changes in tax rules or interpretation, might adversely affect the Company, such as changes in regulations governing asset classes that could impair the Company's ability to hold or re-invest in appropriate assets and lead to impairment in value and or performance of the Company.

Emerging risk

Geopolitical risk

• The risk that instability and conflict in regions of the world may impact the markets or assets in which the Company holds investments. This might include the impact and spread of war, political upheaval (including elections), energy instability, terrorism or sanctions amongst others. These factors may directly or indirectly affect the Company's assets and their values, the liquidity and value of financial markets and/or foreign exchange rates outside of typical market movements.

The Investment Manager

AXA IM is a multi-expert asset management company within the AXA Group, a global leader in financial protection and wealth management, which has a team of experts concentrating on the structured finance markets. AXA IM is one of the largest Europeanbased asset managers with 2,600 professionals and €824bn in assets under management as at the end of June 2023.

AXA IM is authorised by the AFM as an investment management company and its activities are governed by Article L. 532-9 of the French Code Monétaire et Financier. AXA IM was appointed as the Company's AIFM in accordance with the EU AIFMD on 22 July 2014.

Performance measurement and Key Performance Indicators

The Directors meet regularly to review performance and risk against a number of key measures.

Total return

The Board regularly reviews the NAV and NAV total return, the performance of the portfolio as well as income received and the share price of the Company. The Directors regard the Company's NAV total return as being the overall measure of value delivered to Shareholders over the long term. NAV total return is calculated based on NAV growth of the Company with dividends reinvested at NAV.

NAV, on a total return basis, was 11.1% for the six month period ended 31 January 2024. Please refer to page 1 for NAV and share price total return analyses.

Annualised ongoing charges

The annualised ongoing charges are a measure of the annualised total recurring expenses incurred by the Company expressed as a percentage of the average Shareholders' funds over the period. The Board regularly reviews the ongoing charges and monitors all Company expenses. Refer to page 34 for the methodology of the calculation. Also refer to page 32 for more details regarding the alteration of fee structure with AXA IM effective from 31 March 2024.

Premium / discount

The Directors review the trading prices of the Company's Ordinary shares and compare them against their NAVs to assess quantum and volatility in the discount of the Ordinary share prices to their NAVs during the period. Please refer to page 1 for further analysis.

Environmental, social and governance issues

The Company itself has only a very small footprint in the local community and only a very small direct impact on the environment. However, the Board acknowledges that it is imperative that everyone contributes to local and global sustainability. The nature of the Company's investments is such that they do not provide a direct route to influence investees in ESG matters in many areas, but the Board and the Investment Manager work together to ensure that such factors are carefully considered and reflected in investment decisions, as outlined elsewhere in these condensed financial statements.

Board members do travel, partly to meetings in Guernsey and partly elsewhere on Company business, including for the annual due diligence visits to AXA IM in Paris and to BNP Paribas in Jersey. The Board considers this essential in overseeing service providers and safeguarding stakeholder interests. The Board will minimise travel by the use of video conferences whenever good governance permits.

For further information regarding the Company's approach to ESG issues, please refer to the ESG section within the Investment Manager's Report on page 8 and 10.

Life of the Company

The Company has a perpetual life.

EXECUTIVE SUMMARY (CONTINUED)

Future strategy

The Board continues to believe that the investment strategy and policy adopted is appropriate for and is capable of meeting the Company's objectives. The overall strategy remains unchanged and it is the Board's assessment that the Investment Manager's resources are appropriate to properly manage the Company's investment portfolio in the current and anticipated investment environment. Refer to the Investment Manager's report on pages 3 to 8 for details regarding performance to date of the investment portfolio and the main trends and factors likely to affect those investments.

Going concern

Under the Listing Rules, the AIC Code and applicable regulation, the Directors are required to satisfy themselves that it is reasonable to assume that the Company is a going concern and to identify any material uncertainties to the Company's ability to continue as a going concern for at least 12 months from the date of approving the condensed financial statements.

The Directors have considered the state of financial market conditions at the period end date and subsequently. Whilst macroeconomic (inflation and rising interest rates) and geopolitical events have put pressure on the borrowers underlying the Company's portfolio, their impact to date has been small and is expected to remain manageable in the foreseeable future. In particular, the impact on the Company's cash flows is not expected to be material and appropriate steps, as outlined in previous reports, can be taken to minimise cash out flows.

The incidence and impact of defaults in the Underlying Assets is hard to predict but are likely to rise, although it should be noted that recent default levels are below those originally forecast. However, the Directors have concluded that any reasonably foreseeable fall in cash inflows would not have a material impact on the Company's ability to meet its liabilities as they fall due. Therefore, after making appropriate enquiries, the Directors are of the opinion that the Company remains a going concern and are satisfied that it is appropriate to continue to adopt the going concern basis in preparing the Company's condensed financial statements.

Related parties

Refer to note 17 for information on related party transactions.

STATEMENT OF DIRECTORS' RESPONSIBILITIES

The Directors confirm that to the best of their knowledge:

➢ the unaudited condensed financial statements contained within the Half-Yearly Financial Report have been prepared in accordance with IAS 34 - Interim Financial Reporting as required by the Financial Conduct Authority ("FCA") through the Disclosure Guidance and Transparency Rule ("DTR") 4.2.4R;

➢ the combination of the Chair's Statement, Investment Manager's Report, the Executive Summary and notes to the condensed financial statements includes a fair review of the information required by:

(a) Section 5:25d of the Financial Supervision Act of the Netherlands;

(b) DTR 4.2.7R of the DTR, being an indication of important events that have occurred during the first six months of the financial year and their impact on the condensed financial statements and a description of the principal risks and uncertainties for the remaining six months of the financial year; and

(c) DTR 4.2.8R of the DTR, being related party transactions that have taken place in the first six months of the current financial year and that have materially affected the financial position or the performance of the Company during that period; and any changes in the related party transactions described in the last Annual Financial Report that could do so.

This Statement of Directors' Responsibilities was approved by the Board of Directors on 27 March 2024 and was signed on its behalf by:

Dagmar Kershaw Stephen Le Page

Chair Chair of the Audit Committee

Footnote:

The Directors are responsible for the maintenance and integrity of the corporate and financial information included on the Company's website and for the preparation and dissemination of the Company's condensed interim and annual financial statements. Legislation in Guernsey governing the preparation and dissemination of financial statements may differ from legislation in other jurisdiction.

CONDENSED STATEMENT OF COMPREHENSIVE INCOME

FOR THE PERIOD ENDED 31 JANUARY 2024

		1 August 2023 to 31 January 2024 (Unaudited)	1 August 2022 to 31 January 2023 (Unaudited)
	Notes	€	€
Operating income and financing charges
Net gain on financial assets at fair value through profit or loss	5	31,554,132	6,269,154
Net foreign exchange (loss)/gain, including net (loss)/ gain on foreign exchange derivatives, but excluding net foreign exchange gain/(loss) on
financial assets at fair value through profit or loss		(492,675)	4,531,763
Net gain/(loss) on interest rate derivatives		712,469	(1,889,331)
Net bank interest income		432,669	144,754
		32,206,595	9,056,340
Operating expenditure
Investment Manager management fees	17	(1,762,696)	(1,693,321)
Investment Manager performance fees	17	(4,185,013)	-
Operating expenses	6	(640,403)	(639,931)
		(6,588,112)	(2,333,252)
Total comprehensive income		25,618,483	6,723,088
Basic and diluted earnings per Ordinary share	8	€0.7003	€0.1838

Other comprehensive income

There were no items of other comprehensive income in the current period or prior period.

CONDENSED STATEMENT OF FINANCIAL POSITION

AS AT 31 JANUARY 2024

		31 January 2024 (Unaudited)	31 July 2023 (Audited)
	Notes	€	€
ASSETS
Financial assets at fair value through profit or loss	10	237,320,590	220,300,413
Derivatives at fair value through profit or loss		2,138,962	6,382,316
Trade and other receivables	11	57,447	120,240
Cash and cash equivalents		24,813,496	22,577,210
Balances due from broker - margin accounts		1,440,000	5,130,000
TOTAL ASSETS		265,770,495	254,510,179
EQUITY AND LIABILITIES
Capital and reserves
Share capital	14	-	-
Share premium	14	35,808,120	35,808,120
Other distributable reserves	15	-	1,136,348
Retained earnings	15	216,111,966	199,038,620
TOTAL SHAREHOLDERS' EQUITY		251,920,086	235,983,088
LIABILITIES
Derivatives at fair value through profit or loss		2,787,721	5,264,057
Trade and other payables	12	10,512,688	7,093,034
Balances due to broker – margin accounts		550,000	6,170,000
TOTAL LIABILITIES		13,850,409	18,527,091
TOTAL SHAREHOLDERS' EQUITY AND LIABILITIES		265,770,495	254,510,179
NAV per Ordinary share	9	€6.8867	€6.4510

These condensed financial statements on pages 16 to 33 were approved and authorised for issue by the Board of Directors on 27 March 2024 and were signed on its behalf by:

Dagmar Kershaw Stephen Le Page Chair Chair of the Audit Committee

CONDENSED STATEMENT OF CHANGES IN SHAREHOLDERS' EQUITY FOR THE PERIOD ENDED 31 JANUARY 2024

	Notes	Share premium €	Other distributable reserves €	Retained earnings €	Total €
Balance at 31 July 2023 (Audited)		35,808,120	1,136,348	199,038,620	235,983,088
Total comprehensive income for the period		-		25,618,483	25,618,483
Net settlement of Director fees share based payments at a discount to NAV	15	-	11,344	-	11,344
Dividends paid in cash	7,15	-	(1,147,692)	(8,545,137)	(9,692,829)
Balance at 31 January 2024 (Unaudited)		35,808,120	-	216,111,966	251,920,086
	Notes	Share premium €	Other distributable reserves €	Retained earnings €	Total €
Balance at 31 July 2022 (Audited)		35,808,120	19,775,011	172,064,644	227,647,775
Total comprehensive income for the period		-	-	6,723,088	6,723,088

Balance at 31 January 2023 (Unaudited)		35,808,120	10,640,113	178,787,732	225,235,965
Dividends paid in cash	7	-	(9,142,697)	-	(9,142,697)
Net settlement of Director fees share based payments at a discount to NAV		-	7,799	-	7,799

CONDENSED STATEMENT OF CASH FLOWS

FOR THE PERIOD ENDED 31 JANUARY 2024

		1 August 2023 to 31 January 2024 (Unaudited)	1 August 2022 to 31 January 2023 (Unaudited)
	Notes	€	€
Cash flows from operating activities
Comprehensive income		25,618,483	6,723,088
Adjustments for:
Net gain on financial assets at fair value through profit or loss	5	(31,554,132)	(6,269,154)
Net foreign exchange loss/(gain) on revaluation of derivatives		492,675	(4,531,763)
Net (gain)/loss on revaluation of interest rate derivatives		(712,469)	1,889,331
Net settlement of Director fees share based payment	15	11,344	7,799
Coupon and dividends received Increase in trade and other receivables, excluding amounts due from		27,393,129	22,132,709
brokers and interest receivable		(30,747)	(34,214)
Increase/(decrease) in trade and other payables, excluding amounts due to brokers		4,186,485	(333,366)
Net cash generated from operating activities		25,404,768	19,584,430
Cash flows from investing activities
Purchases of financial assets at fair value through profit or loss Proceeds from sales and redemptions of financial assets at fair value		(48,775,304)	(11,258,379)
through profit or loss		35,242,839	3,034,125
Net income on derivative instruments		56,812	3,217,590
Net cash used in investing activities		(13,475,653)	(5,006,664)
Cash flows used in financing activities
Dividends paid to Shareholders	7,15	(9,692,829)	(9,142,697)
Net cash used in financing activities		(9,692,829)	(9,142,697)
Net increase in cash and cash equivalents		2,236,286	5,435,069
Cash and cash equivalents at the beginning of the period		22,577,210	16,785,254
Cash and cash equivalents at the end of the period		24,813,496	22,220,323

NOTES TO THE CONDENSED FINANCIAL STATEMENTS FOR THE PERIOD ENDED 31 JANUARY 2024

1. GENERAL INFORMATION

Information regarding the Company and its activities is provided in the Executive Summary section on page 11.

2. ACCOUNTING POLICIES

2.1 Basis of preparation

The Half-Yearly Financial Report has been prepared in accordance with Section 5.25d of the Financial Supervision Act of the Netherlands, the Disclosure Guidance and Transparency Rules of the Financial Conduct Authority and IAS 34 – Interim Financial Reporting. The Half-Yearly Financial Report has also been prepared using the same accounting policies applied for the Annual Accounts and Audited Financial Statements for the year ended 31 July 2023, which was prepared in accordance with IFRS issued by the International Accounting Standards Board and interpretations issued by the International Financial Reporting Standards Interpretations Committee and applicable law. The Company has not early adopted any other standard, interpretation or amendment that has been issued but is not yet effective.

The Directors have considered the state of financial market conditions at the half yearly period-end date and subsequently and have concluded that any reasonably foreseeable fall in cash inflows would not have a material impact on the Company's ability to meet its liabilities as they fall due. After making appropriate enquiries, the Directors are therefore of the opinion that the Company remains a going concern and are satisfied that it is appropriate to continue to adopt the going concern basis in preparing the Company's condensed financial statements.

There have been no changes in accounting policies during the period.

2.2 Accounting standards

(a) New standards, amendments and interpretations

A number of amendments and interpretations to existing standards have come into effect during the six month period ended 31 January 2024. The Directors believe that the application of these would have no significant impact on the Company's condensed financial statements.

(b) Standards, amendments and interpretations issued, but not yet effective

There are no other standards, amendments to standards and interpretations that are issued but not yet effective, that would have significant impact on the Company's condensed financial statements.

3. SEGMENT REPORTING

The Directors view the operations of the Company as one operating segment, being investment in a diversified portfolio of structured finance assets. All significant operating decisions are based upon analysis of the Company's investments as one segment. The financial results from this segment are equivalent to the financial results of the Company as a whole, which are evaluated regularly by the chief operating decision-maker (the Board with insight from the Investment Manager).

4. DETERMINATION OF FAIR VALUES

A number of the Company's accounting policies and disclosures require the determination of fair values for financial assets which have been determined based on the following methods. Where applicable, further information about the assumptions made in determining fair values is disclosed in note 10.

The valuation methodologies applied to the Company's financial assets (other than recently purchased securities for which up-todate market prices are unavailable) are as follows:

• CLO Equity and debt securities are valued using prices obtained from an independent pricing source, JP Morgan PricingDirect. The prices obtained from JP Morgan PricingDirect are derived from observed traded prices where these are available, but may be based upon non-binding quoted prices received by JP Morgan PricingDirect from arranging banks or other market participants, or a combination thereof, where observed traded prices are unavailable.
• Fund investments are valued at NAV as of the year-end, except the CMV which is valued under a sum-of-the parts method with all CLO Equity investments valued based on JP Morgan PricingDirect (in line with CLO Equities directly held by the Company).
• Warehouse transactions are valued at the lower of: (i) the principal amount invested plus accrued income net of financing costs; and (ii) the mark-to-market value of the relevant proportion of the underlying portfolio, taking into account the buffer provided by the gross arranger fee compared to the net arranger fee commonly paid in the market, plus accrued income net of financing costs.
• The majority of other investments are valued on a mark-to-model basis using discounted projected cash flow valuations.

Where securities have been purchased less than one month prior to the relevant reporting date and up-to-date market prices are otherwise unavailable, such securities will be valued at cost plus accrued interest, if applicable.

NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED) FOR THE PERIOD ENDED 31 JANUARY 2024

4. DETERMINATION OF FAIR VALUES (CONTINUED)

Regarding non-binding quoted prices, it is likely that the arranging bank or market participant determines the valuation based on pricing models, which may or may not produce values that correspond to the prices that the Company could obtain if it sought to liquidate such positions. Such valuations generally involve subjective judgements on key model inputs, particularly default and recovery rates and may not be uniform. Banks and other market participants may be unwilling to disclose all or any of the key model inputs or discount rates that have been used to produce such valuations and it is currently standard market practice to withhold such information. In such circumstances, the valuation continues to be sourced from such arranging bank, or other market participant, despite the lack of information on valuation assumptions.

The Investment Manager reviews the prices received from third parties for reasonableness against its own valuation models and may adjust the prices where such prices are not considered to represent a reliable estimation of fair value. Such adjustments are very rare, are only made after investigating the reasons underlying any differences identified and are also subject to approval by the Investment Manager's internal risk function. No such adjustments were made to prices as at 31 January 2024 (31 July 2023: no such adjustment were made to prices). The Investment Manager's fair value calculations for the residual and debt tranche investments in securitisation vehicles are sensitive to the following key model inputs: default rates; recovery rates; prepayment rates; and reinvestment profiles. The Investment Manager's initial model assumptions are reviewed on a regular basis with reference to both current and projected data. In the case of a material change in the actual key model inputs, the model assumptions will be adjusted accordingly. The discount rate used by the Investment Manager when reviewing the fair value of the Company's portfolio is subject to similar review and adjustment in light of actual experience.

For certain investments targeted by the Company, the secondary trading market may be illiquid or may sometimes become illiquid. As a result, at such times there may be no regularly reported market prices for these investments. In addition, there may not be an agreed industry standard methodology for valuing the investments (e.g. in the case of residual income positions of asset-backed securitisations). In the absence of an active market for an investment and where a financial asset does not involve an arranging bank, or another market participant that is willing to provide valuations on a monthly basis, or if an arranging bank is unwilling to provide valuations, a mark-to-model approach has been adopted by the Investment Manager to determine the valuation. Such pricing models generally involve a number of valuation assumptions, many of which are based on subjective judgements. Key model inputs include (but are not limited to): asset spreads; expected defaults; expected recovery rates; and the price of uncertainty or liquidity through the interest rate at which expected cash flows are discounted. These inputs are derived by reference to a variety of market sources. The method of valuation depends on the nature of the asset.

JP Morgan PricingDirect provide pricing for directly held CLO Debt and CLO Equity tranches, which in aggregate represented 89.3% as at 31 January 2024 (31 July 2023: 82.3%) of the Company's financial assets at fair value through profit or loss.

The Company's policy is to publish its NAV on a timely basis in order to provide Shareholders with appropriately up-to-date NAV information. However, the underlying NAVs as at the relevant month-end date for the fund investments held by the Company are normally available only after the Company's NAV has already been published. Consequently, such investments are valued using the most recently available NAV.

As at the date of publication of the Company's NAV as at 31 January 2024, approximately 0.7% (31 July 2023: 1.6%) of the Company's financial assets at fair value through profit or loss comprised investments for which the relevant NAVs as at the month-end date were not yet available.

NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED) FOR THE PERIOD ENDED 31 JANUARY 2024

4. DETERMINATION OF FAIR VALUES (CONTINUED)

In accordance with the Company's valuation policy, the Company's financial assets at fair value through profit or loss as at 31 January 2024 was calculated using prices received from JP Morgan PricingDirect for all assets except for those assets noted below:

Asset classes	% of financial assets at fair value through profit or loss as at 31 January 2024 (Unaudited)	% of financial assets at fair value through profit or loss as at 31 July 2023 (Audited)	Valuation methodology
SCC BBS	0.9%	4.4%	Discounted projected cash flow model-based valuation using
			discount rates within a range of 8.0% to 12.0% (31 July 2023: 8.0% to 12.0%), constant default rates within a range of 0.3% to 3.0% (31 July 2023: 0.3% to 3.0%), prepayment rates within a range of 0.0% to 25.0% (31 July 2023: 0.0% to 25.0%) and recovery rates within a range of 51.0% to 63.0% (31 July 2023: 51.0% to 63.0%). (31 July 2023: One BBS transaction (Colonnade 2017-1) was valued at par plus accrued based on information received of early repayment to occur in August 2023.)
Investments in funds (includes CCC Equity and SCC BBS positions)	0.7%	1.6%	Valued using the most recent valuation statements, or capital account statements where applicable, provided by the respective underlying fund administrators, as adjusted for any cash flows received/paid between that date and 31 January 2024 in respect of distributions/calls respectively.
SSC REO	-	1.0%	31 July 2023: A discounted projected cash-flow model-based valuation using a yield of 16.0% was used.
Recently purchased assets	0.8%	1.2%	Being purchased within less than one month of the relevant reporting date, these assets were valued at cost which is considered the most appropriate fair value for newly acquired assets.
CLO Warehouse	1.9%	3.1%	Warehouse transactions are valued at the lower of: (i) the principal amount invested plus accrued income net of financing costs; and (ii) the mark-to-market value of the relevant proportion of the underlying portfolio, taking into account the buffer provided by the gross arranger fee compared to the net arranger fee commonly paid in the market, plus accrued income net of financing costs.
ABS Residual	0.5%	0.9%	Discounted projected cash flow model-based valuation using a discount rate of 9.0% on the weighted average life of contractual cash flows (31 July 2023: 8.96%) for Fintake European Leasing DAC.
CLO – CMV	5.6%	5.3%	Valued under a sum-of-the parts method with all CLO Equity investments valued based on JP Morgan PricingDirect (in line with CLO Equities directly held by the Company).
Fee Rebates	0.3%	0.2%	Fee rebates are valued using a Discounted Cash Flow model based on cash flow projection considering market and comparable transactions parameters
Total as a percentage of NAV	10.7%	17.7%

FOR THE PERIOD ENDED 31 JANUARY 2024

5. NAV PERFORMANCE ANALYSIS

The following table represents the net gain on financial assets at fair value through profit or loss by asset class for the period from 1 August 2023 to 31 January 2024:

	Net realised gain/(loss) on sales and redemptions on financial assets at fair value through profit or loss € (Unaudited)	Net unrealised gain/(loss) on financial assets at fair value through profit or loss € (Unaudited)	Coupon and dividend income € (Unaudited)	Net gain/(loss) on financial assets at fair value through profit or loss € (Unaudited)
CLO – USD Equity
CLO – EUR Equity	- 281,022	(7,540,701) 4,976,856	9,229,508 9,289,532	1,688,807 14,547,410
CLO – USD Debt	(4,763,522)	7,345,248	3,106,129	5,687,855
CLO – EUR Debt	-	3,848,675	2,481,438	6,330,113
CLO – CMV	-	2,055,492	1,119,630	3,175,122
CLO Warehouse	-	(652,338)	1,017,166	364,828
SCC BBS	(2,076,758)	1,758,916	478,600	160,758
CCC Equity	(6,680)	(115,667)	19,456	(102,891)
ABS Residual	-	(856,000)	558,130	(297,870)
	(6,565,938)	10,820,481	27,299,589	31,554,132

The following table represents the net gain on financial assets at fair value through profit or loss by asset class for the period from 1 August 2022 to 31 January 2023:

	Net realised gain/(loss) on sales and redemptions on financial assets at fair value through profit or loss € (Unaudited)	Net unrealised gain/(loss) on financial assets at fair value through profit or loss € (Unaudited)	Coupon and dividend income € (Unaudited)	Net gain/(loss) on financial assets at fair value through profit or loss € (Unaudited)
CLO – USD Equity	-	(9,633,002)	6,588,950	(3,044,052)
CLO – EUR Equity	12,658	(1,155,080)	8,014,623	6,872,201
CLO – USD Debt	-	(4,480,351)	2,591,058	(1,889,293)
CLO – EUR Debt	-	832,270	1,302,486	2,134,756
CLO – CMV	-	(1,536,501)	1,175,554	(360,947)
CLO Warehouse	44,316	23,625	88,842	156,783
SCC BBS	(1,200,913)	963,603	738,478	501,168
CCC Equity	(8,757)	1,038,068	58,182	1,087,493
ABS Residual	-	(727,600)	1,538,645	811,045
	(1,152,696)	(14,674,968)	22,096,818	6,269,154

FOR THE PERIOD ENDED 31 JANUARY 2024

6. OPERATING EXPENSES

		1 August 2023 to 31 January 2024 €	1 August 2022 to 31 January 2023 € (Unaudited)
	Notes	(Unaudited)
Directors' remuneration and expenses	6.1	(186,957)	(164,772)
Legal fees		(28,807)	(10,097)
Administration fees	6.2	(127,154)	(131,456)
Audit fees, audit related and non-audit related fees		(84,234)	(82,632)
Insurance fees		(25,799)	(28,488)
Depositary fees		(32,757)	(21,863)
Other operating expenses		(154,695)	(200,623)
Total		(640,403)	(639,931)

6.1 Directors' remuneration and expenses

	1 August 2023 to1 31 January 2024	1 August 2022 to 31 January 2023
	€	€
	(Unaudited)	(Unaudited)
Directors' fees (cash element, settled during the period)	(130,660)	(113,750)
Directors' fees (equity element, settled during the period)	(29,625)	(26,519)
Directors' fees (equity element, settled after the period-end)	(26,372)	(24,375)
Directors' expenses (settled during the period)	(300)	(128)
Total	(186,957)	(164,772)

Each Director continues to receive 30% of their Director's fee in the form of shares. The remaining 70% of the fees are paid quarterly in cash. As previously reported, the Directors' remuneration shares are purchased in the secondary market. Thus at current levels of discount between the NAV per Ordinary share and the share price, the true cost to the Company is approximately 5% less than the amount quoted above. By applying this approach, the Board have relinquished their right to Director's remuneration of €11,344 during the six month period ended 31 January 2024 (31 January 2023: €7,799).

Should the shares trade at a premium to NAV in the future, the Directors may seek to amend the policy.

Refer to note 15 for "Net settlement of Director fees share based payment".

6.2 Administration fees

On 31 October 2018, the Company signed an agreement with BNP Paribas (the "Administrator") to provide administrative, compliance oversight and company secretarial services to the Company. Under the administration agreement, the Administrator will be entitled to a minimum annual fixed fee for fund administration services and company secretarial and compliance services. These fees are paid monthly in arrears. Ad hoc other administration services are chargeable on a time cost basis. In addition, the Company will reimburse the Administrator for any out of pocket expenses.

During the six month period ended 31 January 2024, administration fees incurred were €127,154 (31 January 2023: €131,456).

FOR THE PERIOD ENDED 31 JANUARY 2024

7. DIVIDENDS

The following dividends have been declared and paid during the six month period ended 31 January 2024 and during the prior year ended 31 July 2023:

Paid and declared during the six month period ended 31 January 2024:

Date declared	Ex-dividend date	Payment date	Amount per Ordinary share €	Total amount paid €
07/12/2023	21/12/2023	25/01/2024	0.1350	4,937,354
20/09/2023	28/09/2023	12/10/2023	0.1300	4,755,475
				9,692,829

Paid and declared during the year ended 31 July 2023:

			Amount per Ordinary
			share	Total amount paid
Date declared	Ex-dividend date	Payment date	€	€
10/07/2023	20/07/2023	03/08/2023	0.1300	4,755,203
15/03/2023	23/03/2023	27/04/2023	0.1300	4,754,752
08/12/2022	29/12/2022	26/01/2023	0.1200	4,389,199
20/09/2022	29/09/2022	20/10/2023	0.1300	4,753,497
				18,652,651

The Directors consider recommendation of a dividend having regard to various considerations, including the financial position of the Company and the solvency test as required by the Companies (Guernsey) Law 2008 (as amended). Subject to compliance with Section 304 of that law, the Board may at any time declare and pay dividends.

8. BASIC AND DILUTED EARNINGS PER ORDINARY SHARE

	1 August 2023 to 31 January 2024 €	1 August 2022 to 31 January 2023 € (Unaudited)
	(Unaudited)
Total comprehensive income for the period	25,618,483	6,723,088
Basic and diluted earnings per Ordinary share	0.7003	0.1838
	Number	Number
Weighted average number of Ordinary shares during the period	36,580,580	36,580,580

9. NAV PER ORDINARY SHARE

	31 January 2024 €	31 July 2023 €
	(Unaudited)	(Audited)
NAV	251,920,086	235,983,088
NAV per Ordinary share	6.8867	6.4510

	Number	Number
Number of Ordinary shares at period/year-end	36,580,580	36,580,580

10. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS

Financial assets at fair value through profit or loss are measured at fair value and changes therein are recognised in the Condensed Statement of Comprehensive Income.

31 January 2024	31 July 2023 €
(Unaudited)	(Audited)
220,300,413	214,055,782
48,008,473	39,636,434
(35,242,839)	(15,211,297)
4,254,543	(18,180,506)
237,320,590	220,300,413
	€

FOR THE PERIOD ENDED 31 JANUARY 2024

10. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS (CONTINUED)

	31 January 2024	31 July 2023 €
	€
	(Unaudited)	(Audited)
Realised gain on sale and redemption on financial assets at fair value through profit or loss	781,332	213,063
Realised loss on sale and redemption on financial assets at fair value through profit or loss	(7,347,270)	(3,645,758)
Unrealised gain on financial assets at fair value through profit or loss	22,400,130	11,441,676
Unrealised loss on financial assets at fair value through profit or loss	(11,579,649)	(26,189,487)
Net gain/(loss) on financial assets at fair value through profit or loss	4,254,543	(18,180,506)

Fair value hierarchy

IFRS 13 – Fair Value Measurement requires an analysis of investments valued at fair value based on the reliability and significance of information used to measure their fair value.

The Company classifies fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy has the following levels:

• Level 1 quoted prices (unadjusted) in active markets for identical assets or liabilities. Investments, whose values are based on quoted market prices in active markets and are therefore classified within Level 1, include active listed equities. The quoted price for these instruments is not adjusted;
• Level 2 inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices). Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information; and
• Level 3 inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability. The determination of what constitutes "observable" requires significant judgement by the Company. The Company considers observable data to be market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary and provided by independent sources that are actively involved in the relevant market.

Transfers between levels are determined based on changes to the significant inputs used in the fair value estimation. The Company recognises transfers between levels of the fair value hierarchy as at the beginning of the reporting period during which the change has occurred. Further information about the fair value hierarchy is disclosed below.

The following tables analyse, within the fair value hierarchy, the Company's financial assets and liabilities (by class, excluding cash and cash equivalents, balances due from broker - margin accounts, trade and other receivables, trade and other payables and balances due to broker - margin accounts) measured at fair value at 31 January 2024 and 31 July 2023:

	31 January 2024
	Level 1 €	Level 2 €	Level 3 €	Total €
Financial assets at fair value through profit or loss:	(Unaudited)	(Unaudited)	(Unaudited)	(Unaudited)
– Securities	-	-	237,320,590	237,320,590
Financial assets at fair value through profit or loss:
– Derivatives	-	2,138,962	-	2,138,962
Financial liabilities at fair value through profit or loss:
– Derivatives	-	(2,787,721)	-	(2,787,721)
	-	(648,759)	237,320,590	236,671,831

FOR THE PERIOD ENDED 31 JANUARY 2024

10. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS (CONTINUED)

Fair value hierarchy (Continued)

	31 July 2023
	Level 1 €	Level 2 €	Level 3 €	Total €
	(Audited)	(Audited)	(Audited)	(Audited)
Financial assets at fair value through profit or loss: – Securities	-	-	220,300,413	220,300,413
Financial assets at fair value through profit or loss: – Derivatives	-	6,382,316	-	6,382,316
Financial liabilities at fair value through profit or loss: – Derivatives	-	(5,264,057)	-	(5,264,057)
	-	1,118,259	220,300,413	221,418,672

All of the Company's investments are classified within Level 3 as they have significant unobservable inputs and they may trade infrequently. The sources of these fair values are not considered to be publicly available information. The Company has determined the fair values of its investments as described in note 4. The Company's foreign exchange derivatives held as at the reporting date (open foreign exchange forwards, swaps and options positions) are classified within Level 2 as their prices are not publicly available, but are derived from information that is publicly available, such as quoted forward exchange rates.

Financial assets at fair value through profit or loss reconciliation

The following table represents the movement in Level 3 instruments for the six month period ended 31 January 2024:

	€
	(Unaudited)
Fair value at 1 August 2023	220,300,413
Purchases	48,008,473
Sale and redemption proceeds	(35,242,839)
Realised loss on sales and redemptions on financial assets at fair value through profit or loss	(6,565,938)
Unrealised gain on financial assets at fair value through profit or loss	10,820,481
Fair value at 31 January 2024	237,320,590

The following table represents the movement in Level 3 instruments for the year ended 31 July 2023:

€
(Audited)
214,055,782
39,636,434
(15,211,297)
(3,432,695)
(14,747,811)
220,300,413

The appropriate fair value classification level is reviewed for each of the Company's investments at each period end. Any transfers into or out of a particular fair value classification level are recognised at the beginning of the period following such re-classification at the fair value as at the date of re-classification. There were no such transfers between fair value classifications levels during the six month period ended 31 January 2024 (during the year ended 31 July 2023: there were no such transfers between fair value classifications levels).

Sensitivity analysis

In the opinion of the Directors, the following analysis gives an approximation of the sensitivity of the different asset classes to market risk as at 31 January 2024 that is reasonable considering the current market environment and the nature of the main risks underlying the Company's assets. This sensitivity analysis presents an approximation of the potential effects of events that could have been reasonably expected to occur as at the reporting date. Where valuations were based upon prices received from arranging banks or other market participants, or on a NAV provided by the underlying fund administrator, the sensitivity analyses are not necessarily based upon the assumptions used by such sources as these are not made available to the Company, as explained in note 4.

FOR THE PERIOD ENDED 31 JANUARY 2024

10. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS (CONTINUED)

Sensitivity analysis (Continued)

The sensitivity of the fair values of most of the assets held by the Company to the traditional risk variables is not the most relevant in the current environment. For example, the sensitivity to interest rates is interdependent with other, more significant, market variables. This analysis reflects the sensitivity to some of the most relevant determinants of the risks associated with each asset class. While every effort has been made to assess the pertinent risk factors, there is no assurance that all the risk factors have been considered. Other risk factors could become large determinants of the fair value.

CLO tranches

Two of the main risks associated with CLO tranches are the occurrence of defaults and prepayments in the underlying portfolio.

The Directors believe it is reasonable to test the sensitivity of these assets to the following reasonably plausible changes to the base case scenarios, which have been derived from historically observed default rates and prepayment rates:

The rate of occurrence of defaults at the underlying loan portfolio level.

The base case scenario is to project the rate of occurrence of defaults at the underlying loan portfolio level at 2.0% per year which was assumed to approximate the market consensus projected default rate as at 31 January 2024, with an exception for newly issued (less than 12 months) deals for which a default rate at zero is set (base case scenario as at 31 July 2023: 2.0% per year, with an exception for newly issued (less than 12 months) deals for which a default rate was set at zero). A reasonably plausible change in the default rate is considered to be an increase to 1.5 times the base case default rate (a decrease to 0.5 times the base case default rate would have approximately an equal and opposite impact, so this is not presented in the table below). For further information, the projected impact of a change in the default rate to 2.0 times the base case default rate is also presented in the table below.

The rate of occurrence of prepayments is measured by the CPR at the underlying loan portfolio level.

The base case scenario is to project a CPR at circa 20.0% per year for the US and Europe. The Directors consider that reasonably plausible changes in the CPR would be a decrease in the CPR of the underlying loan portfolios from 20.0% to 10.0% for the US and Europe. The impact of the CPR is approximately linear, so the impact of an opposite test would be likely to result in an equal and opposite impact. The projected impact of a decrease in CPR from 20.0% to 10.0% for the US and Europe is detailed in the below table.

The increase in default rate and the decrease in CPR is combined with an increase in discount margin ("DM") at which projected cash flows might be discounted in such scenario. In the below table DM (both for CLO Debt and CLO Equity positions) has been widened by 300bps for the first scenario & 500bps for the second scenario, while a shock was cause in terms of stress (increase in CCC bucket combined with an increase in defaults) in order to generate a scenario in line a 1.5 and a 2 time "base case scenario" default rate. We also stress a decrease of the CPR from 20.0% to 10.0% coupled with a 150bps DM increase to illustrate sensitivity to this simple assumption.

As at 31 January 2024

Asset class	Impact of an increase in default rate to 1.5x base case scenario		Impact of an increase in default rate to 2.0x base case scenario		Decrease in CPR from 20.0% to 10.0% for US and Europe
	% of NAV	Price impact	Impact on NAV	Price impact	Impact on NAV	Price impact	Impact on NAV
USD CLO Equity	19.4%	(20.0)%	(3.8)%	(41.7)%	(7.9)%	(6.7)%	(1.3)%
EUR CLO Equity	26.0%	(14.0)%	(3.6)%	(37.0)%	(9.6)%	(5.6)%	(1.5)%
USD CLO Debt	15.8%	(11.2)%	(1.8)%	(19.0)%	(3.0)%	(7.0)%	(1.1)%
EUR CLO Debt	24.0%	(11.1)%	(2.7)%	(21.1)%	(5.1)%	(8.5)%	(2.0)%
All CLO tranches	85.2%		(11.9)%		(25.6)%		(5.9)%

As at 31 July 2023

Asset class	Impact of an increase in default rate to 1.5x base case scenario		Impact of an increase in default rate to 2.0x base case scenario		Decrease in CPR from 20.0% to 10.0% for US and Europe
	% of NAV	Price impact	Impact on NAV	Price impact	Impact on NAV	Price impact	Impact on NAV
USD CLO Equity	23.9%	(20.9)%	(4.9)%	(49.0)%	(11.4)%	(8.9)%	(2.1)%
EUR CLO Equity	23.1%	(11.9)%	(2.7)%	(36.6)%	(7.7)%	(7.0)%	(1.6)%
USD CLO Debt	17.1%	(12.2)%	(2.1)%	(22.6)%	(3.8)%	(6.4)%	(1.1)%
EUR CLO Debt	14.0%	(15.4)%	(2.1)%	(23.8)%	(3.3)%	(8.0)%	(1.1)%
All CLO tranches	78.1%		(11.8)%		(26.2)%		(5.9)%

FOR THE PERIOD ENDED 31 JANUARY 2024

10. FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS (CONTINUED)

Sensitivity analysis (Continued)

CLO tranches (Continued)

As presented above, a reasonably plausible increase in the default rate in the underlying loan portfolios would have a negative impact on both the debt and equity tranches of CLO. A decrease in the CPR would have a negative impact on the debt tranches (as principal payment will occur later) and would negatively impact equity tranches as shown above (in such an event excess cash flows to the equity tranches would last longer).

Sensitivity of the CMV position should be inferred from US and European CLO Equity sensitivity analysis.

11. TRADE AND OTHER RECEIVABLES

	31 January 2024 €	31 July 2023 €
	(Unaudited)	(Audited)
Prepayments and other receivables	57,447	26,699
Interest receivable	-	93,541
Total	57,447	120,240

12. TRADE AND OTHER PAYABLES

	31 January 2024	31 July 2023 €
	€
	(Unaudited)	(Audited)
Investment Manager management fees	1,762,696	1,647,896
Investment Manager performance Fees	6,474,226	2,289,213
Directors' fees (shares payable)	26,372	26,144
Amounts due to brokers	1,845,669	2,612,500
Accrued expenses and other payables	403,725	517,281
Total	10,512,688	7,093,034

13. SHARE CAPITAL

	31 January 2024 Number of shares (Unaudited)	31 July 2023 Number of shares (Audited)
Ordinary shares of no par value each	Unlimited	Unlimited
Class B convertible Ordinary share of no par value	1	1
Class C non-voting convertible Ordinary shares of no par value each	Unlimited	Unlimited

With respect to voting rights at general meetings of the Company, the Ordinary shares and Class B share confer on the holder of such shares the right to one vote for each share held, while the holders of Class C shares do not have the right to vote. Each class of share ranks pari passu with each other with respect to participation in the profits and losses of the Company.

The Class B share is identical in all respects to the Company's Ordinary shares, except that it entitles the holder of the Class B share (an affiliate of AXA IM) to elect a single Director to the Company's Board of Directors. At such time as the holdings of the AXA Group investors decline to less than 5% of the Company's equity capitalisation (with the Class B share and the other issued and outstanding Ordinary shares and Class C shares taken together), the Class B share shall be converted to an Ordinary share.

There are no Class C shares currently in issue and there is currently no mechanism by which any Class C shares can be issued in the future (31 July 2023: nil Class C shares in issue).

Issued and fully paid

	Number of Ordinary shares in issue	Number of Class B shares in issue	Number of Class C shares in issue	Total number of shares in issue
Balance at 31 July 2022 (Audited)	36,580,580	1	-	36,580,581
Issued to Directors during the year	-	-	-	-
Balance at 31 July 2023 (Audited)	36,580,580	1	-	36,580,581
Issued to Directors during the period	-	-	-	-
Balance at 31 January 2024 (Unaudited)	36,580,580	1	-	36,580,581

The Directors of the Company receive 30% of their Director's fee in the form of Ordinary shares purchased on the secondary market.

FOR THE PERIOD ENDED 31 JANUARY 2024

13. SHARE CAPITAL (CONTINUED)

The Company purchased the following Ordinary shares on the secondary market during the six month period ended 31 January 2024:

• 1 August 2023: 4,124 Ordinary shares at an average price of €5.14 per Ordinary share.
• 31 October 2023: 4,549 Ordinary shares at an average price of €5.09 per Ordinary share.

Ordinary shares purchased on the secondary market during the year ended 31 July 2023:

• 1 August 2022: 4,362 Ordinary shares at an average price of €5.24 per Ordinary share.
• 1 November 2022: 4,202 Ordinary shares at an average price of €4.80 per Ordinary share.
• 1 February 2023: 4,174 Ordinary shares at an average price of €5.35 per Ordinary share.
• 28 April 2023: 4,035 Ordinary shares at an average price of €5.00 per Ordinary share.

Please refer to page 11 for information on Director holdings in the Company's Ordinary shares.

14. SHARE PREMIUM

	Ordinary shares	Class B share	Class C shares	Total
	€	€	€	€
Balance at 31 July 2022 (Audited)	35,808,120	-	-	35,808,120
Issued to Directors during the year	-	-	-	-
Balance at 31 July 2023 (Audited)	35,808,120	-	-	35,808,120
Issued to Directors during the period	-	-	-	-
Balance at 31 January 2024 (Unaudited)	35,808,120	-	-	35,808,120

The share premium account represents the issue proceeds received from, or value attributed to, the issue of share capital, except for the share premium amount of €285,001,174 arising from the Company's initial issue of share capital upon its IPO, which was transferred to other distributable reserves on 26 January 2007, following approval by the Royal Court of Guernsey (see note 15).

15. RESERVES

	Other distributable reserves €	Retained earnings €
At 31 July 2022 (Audited)	19,775,011	172,064,644
Total comprehensive income for the year	-	26,973,976
Net settlement of Director fees share based payments	13,988	-
Dividends paid in cash	(18,652,651)	-
At 31 July 2023 (Audited)	1,136,348	199,038,620
Total comprehensive income for the period	-	25,618,483
Net settlement of Director fees share based payments	11,344	-
Dividends paid in cash	(1,147,692)	(8,545,137)
At 31 January 2024 (Unaudited)	-	216,111,966

Other distributable reserves represent the balance transferred from the share premium account on 26 January 2007, less dividends paid. The initial purpose of this reserve was to create a reserve from which dividend payments could be paid under the law prevailing at that time and the Company's Articles. However, the Companies (Guernsey) Law 2008 (as amended) became effective from 1 July 2008. Under this law, dividends can be paid from any source, provided that a company satisfies the relevant solvency test as prescribed under the law and the Directors make the appropriate solvency declaration.

Dividends for the six month period ended 31 January 2024 was paid from the remaining other distributable reserves available and the remaining balance was paid from retained earnings. The balance of other distributable reserves as at the period ended 31 January 2024 is now €nil.

The retained earnings represents all profits and losses recognised through the Statement of Comprehensive Income to date.

16. FINANCIAL RISK MANAGEMENT

Capital risk management

The Board's policy is to maintain a strong capital base so as to maintain investor, creditor and market confidence and to sustain future development of the Company. The Company's capital is represented by the shares, share premium account, other distributable reserves and retained earnings reserve. The capital of the Company is managed in accordance with its investment policy, in pursuit of its investment objectives. The Company seeks to attain its investment objectives by pursuing a multi-asset-class investment strategy. The investment strategy focuses on direct and indirect investments in and exposures to, a variety of assets selected for the purpose of generating cash flows for the Company.

FOR THE PERIOD ENDED 31 JANUARY 2024

16. FINANCIAL RISK MANAGEMENT (CONTINUED)

Capital risk management (continued)

The Board of Directors also monitors the level of dividends to Ordinary Shareholders.

The Company's other financial risk management objectives and policies are consistent with those disclosed in the Company's Audited Annual Financial Statements for the year ended 31 July 2023.

17. RELATED PARTIES

Transactions with Directors

For disclosure of Directors' remuneration, please see note 6. As at 31 January 2024, Directors' fees to be paid in cash of €nil (31 July 2023: €nil) had been accrued but not paid. Directors' fees to be paid in Ordinary shares of €26,372 (31 July 2023: €26,144) had been accrued, but not paid and Directors' expenses of €nil (31 July 2023: €nil) had been accrued but not paid.

As at 31 January 2024, the Directors of the Company owned 0.25% (31 July 2023: 0.24%) of the voting shares of the Company.

Transactions with the Investment Manager

AXA IM was entitled to receive from the Company an investment manager fee equal to the aggregate of:

a. an amount equal to 1.5% of the lower of NAV and €300 million; and

b. if the NAV is greater than €300 million, an amount equal to 1.0% of the amount by which the NAV of the Company exceeds €300 million.

The investment management fee is calculated for each six month period ending on 31 July and 31 January of each year on the basis of the Company's NAV as of the end of the preceding period and payable semi-annually in arrears. The investment management fee payable to AXA IM is subject to reduction for investments in AXA IM Managed Products as set out in the Company's Investment Guidelines. During the six month period ended 31 January 2024, the investment management fees incurred were €1,762,696 (31 January 2023: €1,693,321). Investment management fees accrued but unpaid as at 31 January 2024 were €1,762,696 (31 July 2023: €1,647,896).

AXA IM was also entitled to receive a performance fee of 20% of any NAV outperformance over an 8% hurdle on an annualised basis, subject to a high-water mark and adjustments for dividends paid, share issuances, redemptions and buybacks. The performance fee will be calculated and paid annually in respect of each twelve-month month period ending on 31 July (each an "Incentive Period"). Notwithstanding the foregoing, performance fees payable to AXA IM in respect of any Incentive Period shall not exceed 4.99% of the NAV at the end of such Incentive Period.

During the six month period ended 31 January 2024, the performance fees incurred were €4,185,013 (31 January 2023: €nil). Performance fees accrued but unpaid as at 31 January 2024 were €6,474,226 (31 July 2023: €2,289,213).

See note 19 for details of a revised fee regime applicable with effect from 1 March 2024.

AXA IM also acts as investment manager for the following of the Company's investments held as at the year-end which together represented 2.7% of NAV as at 31 January 2024: Adagio V CLO DAC Subordinated Notes; Adagio VI CLO DAC Subordinated Notes; Adagio VII CLO DAC Subordinated Notes; Adagio VIII CLO DAC Subordinated Notes; and Bank Deleveraging Opportunity Fund. (31 July 2023: 3.2% of NAV: Adagio V CLO DAC Subordinated Notes; Adagio VI CLO DAC Subordinated Notes; Adagio VII CLO DAC Subordinated Notes; Adagio VIII CLO DAC Subordinated Notes; and Bank Deleveraging Opportunity Fund).

The investment in Bank Deleveraging Opportunity Fund are classified as AXA IM Managed Product and the investments in Adagio V CLO DAC Subordinated Notes, Adagio VI CLO DAC Subordinated Notes, Adagio VII CLO DAC Subordinated Notes and Adagio VIII CLO DAC Subordinated Notes are classified as Restricted AXA IM Managed Products.

The Investment Manager earns investment management fees, including incentive fees where applicable, directly from each of the above investment vehicles, in addition to its investment management fees earned from the Company. However, with respect to AXA IM Managed Products, there is no duplication of investment management fees as adjustment for these investments is made in the calculation of the investment management fees payable by the Company such that AXA IM earns investment management fees only at the level of the Company.

Due to the fact that the Company's investments in Adagio V CLO DAC Subordinated Notes, Adagio VI CLO DAC Subordinated Notes, Adagio VII CLO DAC Subordinated Notes and Adagio VIII CLO DAC Subordinated Notes are classified as Restricted AXA IM Managed Products, AXA IM earns investment management fees at the level of the Restricted AXA IM Managed Product rather than at the Company level. It is, however possible for AXA IM to earn incentive fees at the level of both the Restricted AXA IM Managed Product and the Company.

Except for the Company's Restricted AXA IM Managed Products and AXA IM Managed Products, (as detailed above), all other investments in products managed by the Investment Manager were made by way of secondary market purchases on a bona fide arm's length basis from parties unaffiliated with the Investment Manager. Therefore, the Company pays investment management fees with respect to these investments calculated in the same way as if the investment manager of these deals were an independent third party.

AXA Group held 27.5% (31 July 2023: 27.5%) of the voting shares in the Company as at 31 January 2024 and 27.5% as at the date of approval of this report.

FOR THE PERIOD ENDED 31 JANUARY 2024

18. COMMITMENTS

As at 31 January 2024, the Company had the following uncalled commitments outstanding:

• a. Crescent European Specialty Lending Fund (a CCC Equity transaction exposed to sub-investment grade corporate credits) €1,931,660 (31 July 2023: €1,983,409) remaining commitment from an original commitment of €7,500,000; and
• b. Aurium XI CLO Warehouse €nill (31 July 2023: €8,053,500) remaining commitment from an original commitment of €14,000,000 as it has been fully repaid.

19. SUBSEQUENT EVENTS

Management has evaluated subsequent events for the Company from 1 February 2024 to 27 March 2024, the date the condensed financial statements were available to be issued. The following points are pertinent:

On 1 February 2024, the Company purchased 3,936 Ordinary shares of no par value in the Company at an average price of €5.13 per Ordinary share. These Ordinary shares purchased in the secondary market were transferred to the Directors as part payment of their Directors' fees, as allocated below:

Graham Harrison - 298 Ordinary shares Stephen Le Page - 951 Ordinary shares Dagmar Kershaw - 1,119 Ordinary shares Yedau Ogoundele - 784 Ordinary shares Joanne Peacegood - 784 Ordinary shares

In terms of warehouse activities, on 2 February 2024, the Company invested \$3m in the BB tranche and \$7.93m in the Equity tranche of the US CLO Regatta XXVII while being fully repaid on the Foxtrot warehouse. The Company also made additional investments in Madison Park Funding LXV warehouse with a cumulative \$2.05m drawdown since the end of the semi-annual period.

In terms of CLO activities, on 9 February 2024, the Company invested \$4.34m in a new US CLO Equity through a Reset opportunity and \$3m in a US BB tranche. The Company also sold circa \$5m of CLO BB tranches to benefit from attractive spreads in the market and optimize managers' exposure.

On 28 February 2024, the Board announced that the Company has agreed an alteration of the fee structure with AXA IM with effect from 31 March 2024, as follows:

Management fees

AXA IM will be entitled to receive from the Company an investment management fee equal to the aggregate of:

• i. an amount equal to 1.5% per annum, of the lower of the NAV and €236 million (as opposed to the previous threshold which was €300 million); and
• ii. if the NAV is greater than €236 million, an amount equal to 1.0% per annum of the amount by which the NAV exceeds €236 million.

The investment management fee will continue to be calculated for each six month period ending on July 31 and January 31 of each year on the basis of the Company's NAV as of the end of the preceding period and payable semi-annually in arrears. The investment management fee payable to AXA IM will continue to be subject to reduction for investments in AXA IM Managed Products as set out in the Company's existing Investment Guidelines.

Performance fees

AXA IM will be entitled to receive a performance fee of 20% of any NAV outperformance over an 8% hurdle on an annualised basis, subject to a high water mark (which will be equal to the latest audited NAV per Ordinary share multiplied by (1+8%)) and adjustments for dividends paid, share issuances, redemptions and buybacks. The performance fee will be calculated and paid annually in respect of each 12 month period ending on 31 July (each an "Incentive Period").

Notwithstanding the foregoing, performance fees payable to AXA IM in respect of any Incentive Period shall not exceed 4.99% of the NAV at the end of such Incentive Period.

On 21 March 2024, the Company declared a quarterly interim dividend of €0.14 per Ordinary share amounting to approximately €5.12m. The ex-dividend date is 28 March 2024 with a record date of 2 April 2024 and a payment date on 25 April 2024.

During the year, it was decided to run a competitive tender process for the external audit of the Company and subsequently, Deloitte LLP has been appointed as new auditor.

FOR THE PERIOD ENDED 31 JANUARY 2024

FORWARD-LOOKING STATEMENTS

This report includes statements that are, or may be considered, "forward-looking statements". These forward-looking statements can be identified by the use of forward-looking terminology, including the terms "believes", "estimates", "anticipates", "plans", "expects", "targets", "aims", "intends", "may", "will", "can", "can achieve", "would" or "should" or, in each case, their negative or other variations or comparable terminology. These forward-looking statements include all matters that are not historical facts. They appear in a number of places throughout this report, including in the Chair's Statement. They include statements regarding the intentions, beliefs or expectations of the Company or the Investment Manager concerning, among other things, the investment objectives and investment policies, financing strategies, investment performance, results of operations, financial condition, liquidity prospects, dividend policy and targeted dividend levels of the Company, the development of its financing strategies and the development of the markets in which it, directly and through special purpose vehicles, will invest and issue securities and other instruments. By their nature, forward-looking statements involve risks and uncertainties because they relate to events and depend on circumstances that may or may not occur in the future. Forward-looking statements are not guarantees of future performance. The Company's actual investment performance, results of operations, financial condition, liquidity, dividend policy and dividend payments and the development of its financing strategies may differ materially from the impression created by the forward-looking statements contained in this document. In addition, even if the investment performance, results of operations, financial condition, liquidity, dividend policy and dividend payments of the Company and the development of its financing strategies are consistent with the forward-looking statements contained in this document, those results or developments may not be indicative of results or developments in subsequent periods. Important factors that may cause differences include, but are not limited to: changes in economic conditions generally and in the structured finance and credit markets particularly; fluctuations in interest and currency exchange rates, as well as the degree of success of the Company's hedging strategies in relation to such changes and fluctuations; changes in the liquidity or volatility of the markets for the Company's investments; declines in the value or quality of the collateral supporting any of the Company's investments; legislative and regulatory changes and judicial interpretations; changes in taxation; the Company's continued ability to invest its cash in suitable investments on a timely basis; the availability and cost of capital for future investments; the availability of suitable financing; the continued provision of services by the Investment Manager and the Investment Manager's ability to attract and retain suitably qualified personnel; and competition within the markets relevant to the Company. These forward-looking statements speak only as at the date of this report. Subject to its legal and regulatory obligations (including under the rules of Euronext Amsterdam, the UK Listing Authority and the London Stock Exchange)the Company expressly disclaims any obligations to update orrevise any forward-looking statement (whether attributed to it or any other person) contained herein to reflect any change in expectations with regard thereto or any change in events, conditions or circumstances on which any statement is based.

The Company qualifies all such forward-looking statements by these cautionary statements. Please keep these cautionary statements in mind while reading this report.

ALTERNATIVE PERFORMANCE MEASURES DISCLOSURES

FOR THE PERIOD ENDED 31 JANUARY 2024

Alternative performance measures disclosure

In accordance with ESMA Guidelines on APMs the Board has considered what APMs are included in the Half-Yearly Financial Report and condensed financial statements which require further clarification. An APM is defined as a financial measure of historical or future financial performance, financial position, or cash flows, other than a financial measure defined or specified in the applicable financial reporting framework. APMs included in the condensed financial statements, which are unaudited and outside the scope of IFRS, are deemed to be as follows:

NAV to market price discount / premium

The NAV per Ordinary share is the value of all the Company's assets, less any liabilities it has, divided by the total number of Ordinary shares. However, because the Company's Ordinary shares are traded on the Euronext Amsterdam and London Stock Exchange, the share price may be lower or higher than the NAV. The difference is known as a discount or premium. The Company's discount / premium to NAV is calculated by expressing the difference between the share price (closing price)¹ and the NAV per Ordinary share on the same day compared to the NAV per Ordinary share on the same day.

The discount or premium per Ordinary share is a key indicator of the discrepancy between the market value and the intrinsic value of the Company.

At 31 January 2024, the Company's Ordinary shares traded at €5.10 on the Euronext Amsterdam (31 July 2023: €5.08). The Ordinary shares traded at a discount of 25.9% (31 July 2023: discount of 21.3%) to the NAV per Ordinary share of €6.8867 (31 July 2023: €6.4510).

Annualised ongoing charges

The annualised principal ongoing charges ratio (excluding performance fees) for the six month period ended 31 January 2024 was 2.0% (year ended 31 July 2023: 2.0%) and the annualised ongoing charges (including performance fees) was 5.4% (year ended 31 July 2023: 3.0%). The AIC's methodology for calculating an ongoing charges figure is based on annualised ongoing charges (refer to the table below) divided by average NAV in the period of € 242,865,714 (31 July 2023: average NAV in the year of €224,097,239).

Calculating ongoing charges

The ongoing charges are based on actual costs incurred in the year excluding any non-recurring fees in accordance with the AIC methodology. Expense items have been excluded in the calculation of the ongoing charges figure when they are not deemed to meet the following AIC definition:

"Ongoing charges are those expenses of a type which are likely to recur in the foreseeable future, whether charged to capital or revenue and which relate to the operation of the investment company as a collective fund, excluding the costs of acquisition/disposal of investments, financing charges and gains/losses arising on investments. Ongoing charges are based on costs incurred in the year as being the best estimate of future costs."

Please refer below for annualised principal ongoing charges (excluding performance fees) and the ongoing charges (including performance fees) reconciliation for the six month period ended 31 January 2024 and year ended 31 July 2023:

	31 January 2024 €	31 July 2023 €
Expenses included in the calculation of annualised ongoing charges figures,
in accordance with AIC's methodology:
Management fees	(1,762,696)	(3,341,218)
Legal and professional fees	(116,991)	(277,815)
Administration fees	(314,112)	(587,515)
Sundry expenses	(174,840)	(313,056)
Total annualised ongoing charges for the period/year	(2,368,639)	(4,519,604)
Performance fees	(4,185,013)	(2,289,213)
Total ongoing charges for the year (including performance fees)	(6,553,652)	(6,808,817)

Calculating an average NAV

The AIC's methodology for calculating average NAV for the purposes of the ongoing charges figure is to use the average of NAV at each NAV calculation date. On this basis the average NAV figure has been calculated using the monthly published NAVs over the six month period ended 31 January 2024 and year ended 31 July 2023.

Internal Rate of Return

The IRR is calculated as the gross projected future return on the Company's investment portfolio as at 31 January 2024 under standard AXA IM assumptions. As at 31 January 2024 the IRR is 17.3% (31 July 2023: 21.8%).

The IRR is calculated using projected cash flows and a Discounted Cash Flow model from the investment portfolio, which are consistent with the Company's accounting policies.

ALTERNATIVE PERFORMANCE MEASURES DISCLOSURES (CONTINUED) FOR THE PERIOD ENDED 31 JANUARY 2024

Dividend yield

Dividend yield is calculated by annualising the last dividend paid during the six month periods ended 31 January 2024 and 31 July 2023, divided by the share price as at 31 January 2024 and 31 July 2023 respectively.

Dividend yield is calculated to measure the Company's distribution of dividends to the Company's Ordinary Shareholders relative to share price to allow comparability to other companies in the market.

Dividend yield is calculated as follows:

	31 January 2024
Last Dividends declared and paid for the period ended 31 January 2024	€0.1350
Annualised Dividend for the twelve month period ended 31 January 2024	€0.54
Share price as at 31 January 2024	€5.10
Dividend yield	10.6%
	31 July 2023

Last Dividends declared and paid for the year ended 31 July 2023	€0.1300
Annualised Dividend for the year ended 31 July 2023	€0.52
Share price as at 31 July 2023	€5.08
Dividend yield	10.2%

NAV total return

NAV total return per Ordinary share is calculated as the movement in the NAV per Ordinary share plus the total dividends paid per Ordinary share during the period, with such dividends paid being re-invested at NAV, as a percentage of the NAV per Ordinary share as at period end.

The six month period NAV total return is calculated over the period 1 August 2023 to 31 January 2024.

NAV total return summarises the Company's true growth over time while taking into account both capital appreciation and dividend yield.

NAV total return per Ordinary share has been calculated as follows:

	1 August 2023 to 31 January 2024	1 August 2022 to 31 January 2023
	€	€
Opening NAV per Ordinary share as disclosed in the SOFP	6.4510	6.2232
Closing NAV per Ordinary share as disclosed in the SOFP	6.8867	6.1573
	0.4357	(0.0659)
Capital return per Ordinary share (%)	6.8%	(1.1)%
Dividends paid during the period as disclosed above	0.2650	0.2500
Impact of dividend re-investment (%)	4.3%	4.3%
NAV total return per Ordinary share	0.7007	0.1841
NAV total return per Ordinary share (%)	11.1%	3.2%

Share price total return

Share price total return is calculated as the movement in the share price plus the total dividends paid per Ordinary share during the period end, with such dividends paid being re-invested at the share price, as a percentage of the share price as at period end.

Share price total return per Ordinary share has been calculated as follows:

	1 August 2023 to 31 January 2024	1 August 2022 to 31 January 2023
	€	€
Opening share price per Euronext Amsterdam	5.08	5.24
Closing share price per Euronext Amsterdam	5.10	5.22
	0.02	(0.02)
Share price movement (%)	0.4%	(0.4)%
Dividends paid during the period as disclosed above	0.27	0.25
Impact of dividend re-investment (%)	5.2%	5.3%
Share price total return	0.29	0.23
Share price total return (%)	5.6%	4.9%

BOARD OF DIRECTORS FOR THE PERIOD ENDED 31 JANUARY 2024

Director who retired during the period:

BOARD OF DIRECTORS (CONTINUED)

FOR THE PERIOD ENDED 31 JANUARY 2024

01. Dagmar Kent Kershaw

Independent Director – appointed 30 June 2021

Ms Kent Kershaw has over 25 years' experience in financial markets, leading and developing fund management and alternative debt businesses. She headed Prudential M&G's debt private placement activities and launched its Structured Credit business in 1998, which she led for ten years. In 2008, she joined Intermediate Capital Group to head its European and Australian credit business including institutional funds, CLOs, direct lending and hedge funds. Since 2017, she has held non-executive positions and is currently a director of Brooks Macdonald plc and Aberdeen Smaller Companies Income Trust Plc and a Senior Advisor to Strategic Value Partners. Ms Kent Kershaw holds a BA in Economics and Economic History from York University.

02. Stephen Le Page

Independent Director – appointed 16 October 2014

Mr Le Page has served as a non-executive director on a number of boards since his retirement from his role as Senior Partner (equivalent to Executive Chair) of PwC in the Channel Islands in 2013. Throughout his thirty year career with that firm he worked with many different types of financial organisation as both auditor and advisor, particularly with both listed and unlisted investment companies. He is currently the Audit Committee Chair of five London listed funds. Mr Le Page is a Fellow of the Institute of Chartered Accountants in England and Wales and a Chartered Tax Advisor. He is a past president of the Guernsey Society of Chartered and Certified Accountants and a past Chair of the Guernsey International Business Association.

03. Yedau Ogoundele – appointed 1 July 2022

Ms Ogoundele has over 25 years' experience in financial markets, developing fixed income activities and leading financial services businesses. She was Europe, the Middle East and Africa's Head of Market Specialists at Bloomberg, then headed an enterprise sales department. Previously, she worked for over 17 years in investment banking at Credit Agricole CIB and Natixis in various roles including head of credit structuring where she specialised in CLO structuring and secondary loan trading. Since 2021, she has worked as a senior advisor for financial institutions and advises investors, asset managers and corporates on fundraising and risk management solutions. She is currently an independent director of a pan-African financial institution. Ms Ogoundele holds a Master's degree in Management & Finance from EM Lyon Business School.

04. Joanne Peacegood

Independent Director - appointed 1 July 2023

Ms Peacegood has over 20 years of experience in the asset management sector across a range of asset classes and including Listed Companies and Investment Trusts. Prior to becoming a non-executive director, Ms Peacegood worked for PwC in the Channel Islands, UK and Canada and was responsible for leading teams to deliver both audit and controls engagements to hundreds of reputable clients. Ms Peacegood specialised in alternative assets and has significant experience in auditing complex valuations. Ms Peacegood also has 10 years' experience in risk and quality, focusing on how businesses respond to the ever-changing regulatory requirements, risk assessments and assessing the internal control environment. Ms Peacegood is a Fellow of the Institute Of Chartered Accountants In England And Wales, graduating with an Honours degree in Accounting and holds the Institute of Directors Diploma. Ms Peacegood is the immediate past Chair of the Guernsey Investment & Fund Association Executive Committee and is the Deputy Chair of the Guernsey International Business Association Council. Ms Peacegood resides in Guernsey.

05. Graham Harrison

Independent Director - appointed 19 October 2015 – retired on 6 December 2023

Mr Harrison is co-founder and Group Managing Director of ARC Group Limited, a specialist investment advisory and research company. ARC was established in 1995 and provides investment advice to ultra-high net worth families, complex trust structures, charities and similar institutions. Mr Harrison has fund Board experience spanning a wide range of asset classes including hedge funds, commodities, property, structured finance, equities, bonds and money market funds. Prior to setting up ARC, he worked for HSBC in its corporate finance division, specialising in financial engineering. Mr Harrison is a Chartered Wealth Manager and a Chartered Fellow of the Chartered Institute of Securities and Investment. He holds a BA in Economics from the University of Exeter and an MSc in Economics from the London School of Economics.

COMPANY INFORMATION

Volta Finance Limited

Company registration number: CM45747 Guernsey, Channel Islands

Registered office

BNP Paribas House St Julian's Avenue St Peter Port Guernsey GY1 1WA Channel Islands

Website: www.voltafinance.com

Administrator and Company Secretary BNP Paribas S.A., Guernsey Branch¹

BNP Paribas House St Julian's Avenue St Peter Port Guernsey GY1 1WA Channel Islands

Depositary

BNP Paribas S.A., Guernsey Branch¹ BNP Paribas House St Julian's Avenue St Peter Port Guernsey GY1 1WA Channel Islands

Legal advisors as to English Law

Herbert Smith Freehills LLP Exchange House Primrose Street London EC2A 2EG United Kingdom

Legal advisors as to Dutch Law

De Brauw Blackstone Westbroek N.V. Claude Debussylaan 80 PO Box 75084 1070 AB Amsterdam The Netherlands

Legal advisors as to Guernsey Law

Mourant Ozannes Royal Chambers St Julian's Avenue St Peter Port Guernsey GY1 4HP Channel Islands

Investment Manager AXA Investment Managers Paris S.A. Tour Majunga La Défense 6 Place de la Pyramide 92800 Puteaux France

Corporate Broker and Corporate Finance Advisor Cavendish Securities plc

6.7.8 Tokenhouse Yard London EC2R 7AS United Kingdom

Independent Auditor

Deloitte LLP (new auditor) PO Box 403, Gaspé House, 66-72 Esplanade, St Helier JE4 8WA Channel Islands

KPMG Channel Islands Limited (previous auditor) Glategny Court Glategny Esplanade St Peter Port Guernsey GY1 1WR Channel Islands

Listing agent (Euronext Amsterdam) ING Bank N.V. Bijlmerplein 888 1102 MG Amsterdam The Netherlands

Registrar Computershare Investor Services (Guernsey) Limited C/o Queensway House Hilgrove Street St Helier Jersey JE1 1ES Channel Islands

¹ BNP Paribas S.A. Guernsey Branch is regulated by the Guernsey Financial Services Commission.

Listing information

The Company's Ordinary shares are listed on Euronext Amsterdam and the premium segment of the London Stock Exchange's Main Market for listed securities. The ISIN number of the Company's listed shares is GG00B1GHHH78 and the tickers for the relevant markets are listed below:

• Euronext Amsterdam Stock Exchange, Euro quote: VTA.NA
• London Stock Exchange, Euro quote: VTA.LN
• London Stock Exchange, Sterling quote: VTAS.LN

GLOSSARY

Definitions and explanations of methodologies used:

Terms	Definitions
ABS	Asset-backed securities.
ABS Residual	Residual income positions, which are a sub-classification of ABS, being backed by any of the following: residential mortgage loans; commercial mortgage loans; automobile loans; student loans; credit card receivables; or leases.
AIC	the Association of Investment Companies, of which the Company is a member.
AIC Code	the AIC Code of Corporate Governance effective from 1 January 2019.
AFM	the Netherlands Authority for the Financial Markets (the "Autoriteit Financiële Markten" or "AFM"), being the financial markets supervisor in the Netherlands.
AIFM	Alternative Investment Fund Manager, appointed in accordance with the AIFMD.
AIFMD	the Alternative Investment Fund Managers Directive.
APM	Alternative performance measure. We assess our performance using a variety of measures that are not specifically defined under IFRS as adopted by the EU and are therefore termed alternative performance measures. The APMs that we use may not be directly comparable with those used by other companies. The APMs disclosed in the Half-yearly Financial Report and Annual Report and Audited Financial Statements reflect those measures used by management to measure performance. These APMs provide readers with important additional information and will enable comparability of performance in future periods.
Articles	the Articles of Incorporation of the Company.
AUM	Assets under management.
AXA IM, Investment Manager	AXA Investment Managers Paris S.A.
BBS	Bank Balance Sheet transactions: Synthetic transactions that permit banks to transfer part of their exposures such as exposures to corporate loans, mortgage loans, counterparty risks, trade finance loans or any classic and recurrent risks banks take in conducting their core business.
BNP Paribas	BNP Paribas S.A. Guernsey Branch.
Board	the Board of Directors of the Company.
Bp(s)	Basis point(s).
CCC	Cash Corporate Credit: Deals structured credit positions predominantly exposed to corporate credit risks by direct investments in cash instruments (loans and/or bonds).
CCC Equity	Cash Corporate Credit Equity.
CLO(s)	Collateralised Loan Obligations.
Company or Volta	Volta Finance Limited, a limited liability company registered in Guernsey under the Companies (Guernsey) Law 2008 (as amended) with registered number CM45747.
CMV	Capitalised Manager Vehicle: a CMV is a long-term closed-ended structure which is established to act as a CLO manager and to also provide capital in order to meet risk retention obligations when issuing a CLO and also to provide warehousing capabilities.
CPR	Constant prepayment rate.
DAC	Designated Activity Company.
Discount/premium - APM	Calculated as the NAV per Ordinary share as at 31 January 2024 less the Company's closing share price on Euronext Amsterdam as at that date, divided by the NAV per Ordinary share as at that date.
Dividend yield - APM	Last quarter dividend paid during the six month period ended 31 January 2024 annualised, divided by the share price as at 31 January 2024.
DM	Discount Margin.
ESMA	European Securities and Markets Authority.
ESG	Environmental, social and governance.
Euronext Amsterdam	Euronext in Amsterdam, a regulated market of Euronext Amsterdam N.V.
EU	European Union.

GLOSSARY (CONTINUED)

FAFVTPL	Financial assets at fair value through profit or loss.
Financial year	The period from 1 August 2023 to 31 July 2024.
GDP	Gross Domestic Product.
GFC	Global Financial Crisis 2008.
IFRS	International Financial Reporting Standards.
IPO	Initial Public Offering.
IRR	Internal rate of return.
ISIN	International Securities Identification Number.
JP Morgan PricingDirect	An independent valuation service which is a wholly-owned subsidiary of JPMorgan Chase & Co.
KID	Key Information Document (per the PRIIPs regulations).
LCD	Leveraged Commentary and Data.
LSTA	Loan Syndications and Trading Association.
NAV	Net asset value.
NAV total return - APM	NAV total return per Ordinary share as at period end 31 January 2024 is calculated as the movement in the NAV per Ordinary share plus the total dividends paid per Ordinary share during the period/year, with such dividends paid being re-invested at NAV, as a percentage of the opening NAV per Ordinary share.
Ordinary share(s)	Ordinary Share(s) of no par value in the share capital of the Company.
PRIIPs	Packaged retail and insurance- based investment products.
Projected portfolio IRR	Calculated as the gross projected future return on Volta's investment portfolio as at 31 January 2024 under standard market assumptions.
REO	Real Estate Owned.
Reset	Consist in calling all the debt tranches of a CLO, re-marketing a full new debt package, with new CLO documentation, almost as if it is a new CLO.
SCC	Synthetic Corporate Credit: Structured credit positions predominantly exposed to corporate credit risks by synthetic contracts.
SCC BBS	Synthetic Corporate Credit Bank Balance Sheet.
Share(s)	All classes of the shares of the Company in issue.
Shareholder	Any Ordinary Shareholder.
Share price total return - APM	The percentage increase or decrease in the share price on Euronext Amsterdam plus the total dividends paid per Ordinary share during the reference period, with such dividends re-invested in the shares. Obtained from Bloomberg using the TRA (Total Return Analysis) function.
SOFP	Statement of Financial Position.
Underlying Assets	The underlying assets principally targeted for direct and indirect investment (collectively, the "Underlying Assets") consist of corporate credits (investment grade, sub-investment grade and unrated); sovereign and quasi-sovereign debt; residential mortgage loans; commercial mortgage loans; automobile loans; student loans; credit card receivables; and leases.
UK	United Kingdom.
UN PRI	United Nations Principles for Responsible Investment.
UNGC	United Nations Global Compact.
US	United States.
Warehouse	A Warehouse is a short-term structure put in place before a CLO happens in order to accumulate assets in order to facilitate the issue of the CLO. A Warehouse is leveraged and can be marked to market.
WARF	Weighted average rating factor.