Guernsey, 24 May 2011 - Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") has published its Interim Management Statement. The full report is attached to this release and is available on Volta Finance Limited's financial website (www.voltafinance.com).

Dear Shareholders and Investors,
Over the quarter, from the end of January 2011 to the end of April 2011, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") went from €140.6m or €4.57 per share, to €143.3m or €4.65 per share. During this period, the Company paid a dividend of €0.22 per share (€6.8m).

During the same period, the Company invested €6.8m in four different assets (three euro tranches and one USD tranche of CLO) and sold six assets for €9.1m.

During the quarter, cash flows generated by the Company's assets, excluding asset sales and €0.2m of principal payments from short term ABS, amounted to €7.1m (non euro amounts being translated in euro using end of month currency rate). This amount could be compared to €6.3m for the most recent comparable 3-month period in 2010 (from the end of July 2010 to the end of October 2010). The cash generated by the assets, during the quarter under review, is rather significant, close to an annual rate of 21% of Volta's asset valuation excluding cash at the beginning of the period (€138.9m).

As a consequence of the investments and sales made during this period and after taking into account the settlement of some expenses and the dividend payment, the cash position in the Company's accounts went from €1.7m at the end of January 2011 to €3.1m at the end of April 2011. This amount excluded €1.1m received for margin calls linked to the currency hedge strategy of the Company. Since the end of April 2011 as a result of some further coupon payments and two investments, the cash position in the Company has decreased to €2.4m at the time of writing this statement.

The increase of the GAV during the quarter is mainly due to increases in the price of structured credit products as well as to the generation of cash flows from the underlying assets.

MARKET ENVIRONMENT AND LATEST DEVELOPMENTS
Over the quarter, the economic stabilization continued to sustain the performance of credit assets despite raising concerns regarding the financing of some government debts (Republic of Greece, Ireland and Portugal amongst others). Governments and central banks demonstrated again their ability to bring some support to the current economic and financial situation and it contributed to the stabilization of financial markets over the period. From the end of January 2011 to the end of April 2011, the 5y European iTraxx index (series 14) and the 5y iTraxx European Crossover index (series 14) tightened significantly from respectively 98 and 415 bps to respectively 90 and 354 bps and the CSFB Leverage Loan Index, the average price for US liquid first lien loans, modestly increased from 95.64% to 95.92%.*

VOLTA FINANCE PORTFOLIO
Corporate Credit
Over the quarter, no event of default materially affected the situation of the Corporate Credit holdings. However it should be mentioned that the first-loss positions in Jazz III and ARIA III remain highly sensitive to any credit event that could occur. Considering current market focus, it should be reminded that the first-loss positions in Jazz III and ARIA III are exposed, through CDS, to Republic of Greece for the same percentage (0.5%) of their underlying portfolio. Such position if it were to trigger an event of default could generate some direct losses on both positions. Considering an hypothetical recovery of 70%, that circulates amongst market participants when a Greece debt restructuring is evocated, such potential default could represent an immediate direct loss of less than 2% of Volta's current GAV. Over the quarter, despite a deepening of the euro sovereign crisis, the average price of these two first loss positions went from 35.5% of par to 38.2%.

At the end of the period, 43.5% of this bucket is made of two junior-AAA and one A tranche of Corporate Credit portfolios bought in 2009 that benefited from a significant level of subordination contrary to the first loss positions. The average price of the debt tranches of Corporate Credit positions went from 70.1% at the end of January 2011 to 76.4% at the end of April 2011.

The Corporate Credit holdings that were all together valued at €23.2m at the end of January 2011 generated the equivalent of €2.5m of cash flows during the quarter (between end of January 2011 to end of April 2011) and was valued for €24.3m at the end of April 2011.

CDO
This bucket that accounted, at the end of April 2011 for 76.5% of the GAV, is composed of residual and mezzanine debt tranches of CLOs. During the quarter, defaults and downgrades in the underlying loan portfolios continued to occur, albeit at a slower pace than in the near previous quarters. On average over-collateralization tests and residual payments of these structures improved during this quarter relative to the previous one.

At the end of April 2011, amongst the 13 residual CLO positions, two of them (Carlyle IX and Northwoods Capital) continued to suffer a diversion of their residual payment. The residual positions, that were valued at €39.9m at the end of January 2011, have generated the equivalent of €3m during the quarter and have seen their valuation increasing to €40.7m at the end of April 2011. The average price of the 12 classic residual CLO positions (accounting for €31.3m and excluding one investment that is very specific considering its low level of leverage) was 64.4% at the end of April 2011 against 57.1% at the end of January 2011.

As regards the 38 mezzanine debt tranches held by Volta, which represent 47.5% of the end of April 2011 GAV, one of them continued to suffer a diversion of its coupon payments (Alpstar 2A E) but for all of them a full payment of coupons and principal is expected to be met under an average scenario for defaults and rating migrations. Since the end of April, in line with what has been announced through recent monthly reports, Alpstar 2A E resumed paying its current coupon and paid its delayed coupons.

The positions in mezzanine debt of CLOs that were valued at €67.5m at the end of January 2011, have generated the equivalent of €0.9m of cash flows during the quarter and are still valued at €67.5m at the end of April (including 4 assets purchased for €6.8m and 5 assets sold for €7.5m during the period). The average price of the mezzanine debt tranches of CLO positions was 74.4% at the end of April 2011 (71.6% at the end of January for the 39 existing positions at this time).

ABS
Promise Mobility, a residual position on a very largely diversified portfolio of small and medium German companies was representing, at the end of April 2011, 98% of this asset class. In line with what was expected, the latest monthly reports on this deal during the quarter demonstrated a significant reduction in accumulated losses generated at the underlying loans portfolio level. Considering that, this asset continued to perform roughly in line with initial expectations despite some acceleration in losses in Q3 2010. However, the difficult situation of the German economy, despite a strong commitment from the German government to limit the contamination of the German "Mittelstand" from the global economic crisis could, at some point in time, have an effect on the cash flows expected from this investment.

This asset, which was valued at €6.2m at the end of January 2011, has generated €0.3m of cash flows during the quarter and is valued at €6.1m at the end of April 2011.

The remaining portion of this asset class was made, at the end of April 2011, by 6 positions in residuals of UK non-conforming residual loans ABS. These six positions were valued for €0.1m at the end of April 2011 in line with the very poor cash flows that could be expected from these assets.

Since the end of April 2011 and at the date of publishing this statement, the Company's assets have continued to generate cash flows and the Company has continued managing the portfolio : the equivalent of €2.4m of cash flows have been received from existing assets, the equivalent of €3.6m have been spent in recent purchases (two mezzanine debt of CLOs) and two other mezzanine debt of CLOs valued for the equivalent of €1.5m at the end of April have been sold in May for the equivalent of €1.8m.

At the time of publishing this statement, considering the necessity to maintain some cash for margin calls that could arise from time to time from the hedging of the currency risk and the ongoing cash flows that are expected, the Company could be considered as having close to €3m available for investment.

Unless stated otherwise, the figures in this Interim Management Statement are as at end of April 2011 as valuations are available only on a monthly basis with some delays. Between 29 April 2011 and 24 May 2011, the date of publication of this Interim Management Statement, the Company is unaware about any significant event, materially affecting the Company's financial position or the Company's controlled undertaking.

* Index data source: Markit, Bloomberg.

(Full Interim Management Statement attachment on www.voltafinance.com)