Volta Finance Limited : Monthly Report - June 2015

VOLTA FINANCE - JUNE MONTHLY REPORT
                                              
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES

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Guernsey, 22 July 2015 - Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") has published its monthly report. The full report is attached to this release and is available on Volta Finance Limited's financial website (www.voltafinance.com).

Gross Asset Value

PERFORMANCE

At the end of June 2015, the Estimated NAV of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €299.3m or €8.20 per share, a decrease of €0.06 per share since the end of May 2015. The monthly performance was -0.8%, in line with some widening in credit market spreads.

The YTD performance for 2015, accounting for dividends paid, stands at +11.0% as at the end of June.

Because the Company has some leverage at a Company level, the Company is reporting a Gross Asset Value ("GAV") and an Estimated Net Asset Value ("NAV") on a monthly basis (with an audited Net Asset Value for 31^st July and 31^st January): The GAV stood at €328.7m at the end of June.

MARKET REVIEW AND PORTFOLIO ACTIVITY

In June, uncertainties regarding Greece as well as disappointments regarding emerging markets provoked some widening of spread in credit markets. Consistent with this market backdrop, Volta's asset classes generated performances averaging around zero for the month. The June mark-to-market variations* of Volta's asset classes were: -0.5% for Synthetic Corporate Credit deals, +0.5% for CLO Equity tranches; -0.7% for CLO Debt tranches, -0.3% for Cash Corporate Credit deals and -0.3% for ABS. The depreciation of the USD against the Euro (-1.7% in June) contributed to the slightly negative monthly performance. As at the end of June, Volta's exposure to USD represented 35.2% of the Estimated NAV. We continue to monitor developments in the Eurozone closely and currently see no immediate direct threat to Volta.

In June, Volta purchased 3 assets (one Bank Balance Sheet transaction, two USD CLO Debt) for a total of €11.3m and received €22.6m of principal for the closing of the European warehouse that started in November 2014. Under reasonable hypothesis, the projected yield for the Bank Balance Sheet transaction purchased in June was in the area of 9%, the 2 USD CLO debt was yielding in the area of 7%.

At the end of June, Volta held €34.4m in cash, excluding an amount of €1.0m which was pledged as margin under Volta's currency hedging facilities. €2.6m of this was in respect  of a purchase made in June, as yet to be settled in July. Post settlement cash available stands at €31.8m. We are in the final stage of signing a European CLO Warehouse to deploy a significant portion of this amount.

CLO warehouses are still offering projected return in the area of 13 to 15%; although being short term investments. Thanks to the limited leverage put in place in March, Volta can continue investing in USD CLO Debt tranches.

In June, Volta received the equivalent of €2.1m of interest and coupons (non-Euro amounts translated to Euro using end-of-month cross currency rates) bringing the total cash amount received in terms of interest and coupons during the last six months to €17.1m.

In June 2015, no particular event materially impacted any of Volta's assets.

We continue to see opportunities in several structured credit sectors including mezzanine or equity tranches of CLOs, RMBS tranches as well as tranches of Cash or Synthetic Corporate Credit portfolios.

* "Mark-to-market variation" is calculated as the Dietz-performance of the assets in each bucket, taking into account the Mark-to-Market of the assets at month-end, payments received from the assets over the period, and ignoring changes in cross currency rates Nevertheless, some residual currency effects could impact the aggregate value of the portfolio when aggregating each bucket.

(Full monthly report in attachment or on www.voltafinance.com)

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ABOUT VOLTA FINANCE LIMITED

Volta Finance Limited is incorporated in Guernsey under The Companies (Guernsey) Law, 2008 (as amended) and listed on Euronext Amsterdam and the London Stock Exchange's Main Market for listed securities. Volta's home member state for the purposes of the EU Transparency Directive is the Netherlands. As such, Volta is subject to regulation and supervision by the AFM, being the regulator for financial markets in the Netherlands.

Volta's investment objectives are to preserve capital and to provide a stable stream of income to its shareholders through dividends. For this purpose, it pursues a multi-asset investment strategy targeting various underlying assets. 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; automobile loans. Volta Finance Limited's basic approach to its underlying assets is through vehicles and arrangements that provide leveraged exposure to some of those underlying assets. Volta Finance Limited has appointed AXA Investment Managers Paris, an investment management company with a division specialised in structured credit, for the investment management of all its assets.

ABOUT AXA INVESTMENT MANAGERS

AXA Investment Managers (AXA IM) is a multi-expert asset management company within the AXA Group, a global leader in financial protection and wealth management. AXA IM is one of the largest European-based asset managers with €689 billion in assets under management as of the end of March 2015. AXA IM employs approximately 2,350 people around the world and operates out of 22 countries.

CONTACTS

Company Secretary
Sanne Group (Guernsey) Limited
voltafinance@sannegroup.com
+44 (0) 1481 739810

Portfolio Administrator
Sanne Group (Guernsey) Limited
voltafinance@sannegroup.com

For the Investment Manager
AXA Investment Managers Paris
Serge Demay
serge.demay@axa-im.com
+33 (0) 1 44 45 84 47

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This press release is for information only and does not constitute an invitation or inducement to acquire shares in Volta Finance. Its circulation may be prohibited in certain jurisdictions and no recipient may circulate copies of this document in breach of such limitations or restrictions.

This document is not an offer for sale of the securities referred to herein in the United States or to persons who are "U.S. persons" for purposes of Regulation S under the U.S. Securities Act of 1933, as amended (the "Securities Act"), or otherwise in circumstances where such offer would be restricted by applicable law.  Such securities may not be sold in the United States absent registration or an exemption from registration from the Securities Act.  The company does not intend to register any portion of the offer of such securities in the United States or to conduct a public offering of such securities in the United States.

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This communication is only being distributed to and is only directed at (i) persons who are outside the United Kingdom or (ii) investment professionals falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the "Order") or (iii) high net worth companies, and other persons to whom it may lawfully be communicated, falling within Article 49(2)(a) to (d) of the Order (all such persons together being referred to as "relevant persons").  The securities referred to herein are only available to, and any invitation, offer or agreement to subscribe, purchase or otherwise acquire such securities will be engaged in only with, relevant persons.  Any person who is not a relevant person should not act or rely on this document or any of its contents.

Past performance cannot be relied on as a guide to future performance.

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This press release contains statements that are, or may deemed to be, "forward-looking statements". These forward-looking statements can be identified by the use of forward-looking terminology, including the terms "believes", "anticipated", "expects", "intends", "is/are expected", "may", "will" or "should". They include the statements regarding the level of the dividend, the current market context and its impact on the long-term return of Volta's investments. By their nature, forward-looking statements involve risks and uncertainties and readers are cautioned that any such forward-looking statements are not guarantees of future performance. Volta Finance's actual results, portfolio composition and performance may differ materially from the impression created by the forward-looking statements. Volta Finance does not undertake any obligation to publicly update or revise forward-looking statements.

Any target information is based on certain assumptions as to future events which may not prove to be realised. Due to the uncertainty surrounding these future events, the targets are not intended to be and should not be regarded as profits or earnings or any other type of forecasts. There can be no assurance that any of these targets will be achieved. In addition, no assurance can be given that the investment objective will be achieved.

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