Volta Finance Limited (VTA) - July 2017 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
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Guernsey, 18 August 2017
AXA IM has published the Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") monthly report for July. The full report is attached to this release and will be available on Volta's website shortly (www.voltafinance.com).

PERFORMANCE and PORTFOLIO ACTIVITY
In July, Volta's Estimated NAV* performance was -0.2%. The performance would have been far higher without the negative impact of the USD depreciation against Euro. Volta's USD exposure, ranging between 27% and 30% of its NAV in July, cost 0.9% to the monthly performance.

During the month, Volta purchased two assets (2 USD CLO Debt) and was further drawn on a warehouse commitment made earlier this year. The equivalent of €12.3m in total was deployed with an average projected yield close to 9.5% under standard assumptions. The equivalent of €2.5m of principal was received from the existing CMV position as well as the equivalent of €4.3m from one USD CLO equity position being partially called.

At the end of July 2017, Volta's Estimated NAV* was €305.1m or €8.35 per share. The GAV stood at €347.1m.

In July, mark-to-market variations** of Volta's asset classes were: +0.5% for Synthetic Corporate Credit deals; +2.1% for CLO Equity tranches; +0.5% for CLO Debt tranches, +10.9% for Cash Corporate Credit deals; and +0.8% for ABS.

In July, Volta generated the equivalent of €6.2m in interest and coupons net of repo costs (non-euro amounts translated into euro using end-of-month cross currency rates). This brings the total cash amount generated during the last six months in terms of interest and coupons to €15.4m.

Cash holdings or cash equivalent instruments at the end of July totaled €26.3m.

The CLO market was very active again this month with the pursuit of refinancing and reset activities. It has been beneficial to the CLO equity positions that were able to lock in a cheapest cost of debt. BB tranches of European CLOs tightened significantly and we decided to pursue the rebalancing of our CLO Debt bucket in favour of dollar tranches.

* It should be noted that approximately 9.0% of Volta's GAV comprises investments in funds for which the relevant NAVs as at the month-end date are normally available only after Volta's NAV has already been published. Volta's policy is to publish its own NAV on as timely a basis as possible in order to provide shareholders with Volta's appropriately up-to-date NAV information. Consequently, such investments in funds are valued using the most recently available NAV for each fund. The most recently available fund NAV was as at: 30 June 2017 for 9.0% of Volta's GAV.

** "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.