Volta Finance Limited (VTA) - February 2018 monthly report

NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
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Guernsey, 19 March 2018
AXA IM has published the Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") monthly report for January. 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 February, Volta's Estimated NAV* performance was +0.7%.

This time, contrary to the previous month, the monthly performance was positively impacted by the appreciation of the US dollar.

In February, mark-to-market performances of Volta's asset classes were: +1.4% for Bank Balance Sheet Transactions; +0.0% for CLO Equity tranches; +0.5% for CLO Debt tranches, 5.6% for Cash Corporate Credit deals and +0.4% for ABS.

In February, Volta generated the equivalent of €1.4m 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 €17.3m.

In February, Volta made three investments (two BB tranches of USD CLO and a first contribution to a USD CLO warehouse) for the equivalent of €12.9m. Under market standard assumptions, on average, these assets are expected to yield near 10.6%. Another USD CLO warehouse is expected to be opened in March.

These two warehouses, both in USD, are good examples of our ability to continue to invest in USD CLO tranches despite the potential release of the US risk retention rule. For now, we have been able to convince the CLO managers we want to work with to continue issuing USD CLO complying with the European risk retention requirements.

These investments in USD CLO warehouses are in line with our global view that we have reached the right point in the cycle to increase our exposure to CLO Equity tranches in order to benefit from long term relatively tight cost of debt. Of course we expect to rotate all or part of the capital committed to the warehouses in the CLO equity tranches that will be issued afterwards.

At the end of February 2018, Volta's Estimated NAV was €305.4m or €8.35 per share. The GAV stood at €349.1m.

*It should be noted that approximately 10.8% 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 for 8.2% as at 31 January 2018 and for 2.6% as at 29 September 2017.

** "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.

This announcement contains information that is inside information for the purposes of the Market Abuse Regulation (EU) No. 596/2014. Upon the publication of this announcement via Regulatory Information Service this inside information is now considered to be in the public domain.