NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
Guernsey, 19 June 2012 - 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
At 31.05.12 At 30.04.12
Gross Asset Value (GAV / € million) 165.6 157.1
GAV per share (€) 5.30 5.03

At the end of May 2012, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €165.6 m or €5.30 per share, an increase of €0.27 per share (or 5.4%) from €5.03 GAV per share at the end of April 2012.

Year to date 2012 performance, including dividend payments is a positive 26.7% for the first 5 months.

The May mark-to-market variations* of Volta Finance's asset classes have been: +54.7% for ABS investments, -1.3% for mezzanine debt of CDO investments, +4.4% for equity positions in CDO investments and -7.1% for Corporate Credit investments. The GAV increase in May was mainly due to the sale of one of the ABS position with a significant gain (see details in Interim Management Statement published the 1st of June) and from the appreciation of USD against Euro.

Volta's assets generated the equivalent of €2.8m of cash flows in May 2012 (non-Euro amounts converted to Euro using end-of-month cross currency rates and excluding principal payments from debt assets as well as the gain on the ABS sale) bringing the total cash generated during the last six months to €16.0m. It can be compared with €13.3m for the previous six-month period ended in November 2011 (the most recent comparable period considering the seasonality of payments).

In May 2012, the Company purchased, for €2m, one asset, Alpine-Taurus, a synthetic corporate transaction arranged by a major European bank under the supervision of AXA Structured Finance.

At the end of May, Volta held €13.7m in cash, including €1.5m posted in respect of the currency hedge transactions and net of the most recent sale and purchase which have not as yet settled. Considering the pace at which cash flows are generated, Volta's capacity for new investments amounts to €13m.

MARKET ENVIRONMENT
In May 2012, credit spreads widened almost every where as a result of the increasing uncertainties brought about by the renewed Euozone sovereign crisis and with some modest deterioration in the overall economic situation. The spread of the 5 year European iTraxx index and of the 5 year iTraxx European Crossover Index (series 17) went respectively, from 140 and 650 bps at the end of April 2012 to 180 and 720 bps at the end of May 2012. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 18), also widened from 95 to 123 bps at the end of May 2012. According to the CSFB Leverage Loan Index, the average price for USA liquid first lien loans decreased from 94.76% at the end of April 2012 to 93.77% at the end of May 2012.**

VOLTA FINANCE PORTFOLIO
In May 2012, no particular event materially affected the situation of the Corporate Credit holdings. However, the first loss positions in this bucket (ARIA III and the residual positions in JAZZ III) remain highly sensitive to any new credit event, especially to debt of financial institutions considering the significant exposures to banks held through these positions.

As regards the Company's investments in residual and mezzanine debt of CDOs, at the end of May 2012, all 54 positions in residual or mezzanine debt of CDOs are currently paying their coupons. No particular event materially affected the situation of these positions. Again, Volta received from one of its original Euro BB tranche of CLO an earlier repayment of principal. With this new payment, Volta cumulatively received, years in advance, in excess of 30% of the original par amount of this deal that was purchased mid-2008 at 55% of par.

As regards the Company's ABS investments, at the end of May 2012, nothing special affected the largest position (Promise Mobility). Regarding the other investments in this bucket (UK non-conforming residual positions), as already disclosed in the latest Interim Management Statement, one of these positions have been sold with a €5.4m gain to its end of April valuation. Most of the 5 other transactions paid some form of cash flows in June. The valuation of these deals has not as yet been revised since the end of March revision (following March cash flows) as we await to receive the after-payment trustee report to reassess the situation of each deal separately.

Please find in the table below the market value and average prices of Volta's main buckets (the ABS bucket is excluded as it is comprised of different asset types and its average price is meaningless):

Market Value (€m) Current Average Price Last Month Average Price
Corporate Credits 28,8 42,7% 43,7%
CDO Equities USD 45,7 74,4% 74,0%
CDO Equities EUR 3,0 33,3% 35,3%
CDO Debts USD 38,2 73,1% 74,9%
CDO Debts EUR 30,0 55,8% 57,1%

The significant widening of credit spreads modestly affected the average price of Volta assets.

The Company considers that opportunities could arise in several structured credit sectors in the current market environment. Amongst others, mezzanine or senior tranches of CLOs, European or US ABS as well as tranches of Corporate Credit portfolios could be considered for investment. Potential investments could be made depending on the pace at which market opportunities could be seized and cash is available. Depending on market opportunities, the Company may aim to take advantage of the current volatility in prices to sell some assets in order to reinvest the sale proceeds on assets representing, at the time of purchase, what the Company considers a better opportunity.

* "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.

** Index data source: Markit, Bloomberg.

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