- Volta Finance Limited (VTA) - January 2015 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
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Guernsey, 26 February 2016
PERFORMANCE
At the end of January 2016, the Estimated NAV* of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €274.4m or €7.51 per share, a decrease of €0.31 per share.

The NAV performance for January was -4.0% following a gain of 10% for calendar year 2015 (including the April and December dividend payments). This negative performance for January was mainly caused by the decline in prices of CLO debt tranches.

The GAV stood at €318.2m at the end of January 2016

In January, mark-to-market variations** of Volta's asset classes were: -0.2% for Synthetic Corporate Credit deals; -2.4% for CLO Equity tranches; -5.7% for CLO Debt tranches, +2.5% for Cash Corporate Credit deals; and, +0.6% for ABS.

Once again in January, Volta benefited from its diversification across and within various sub-asset classes, being able to partially mitigate the sharp downward revision in CLO debt prices thanks to the varying correlation that exists with some other portions of the portfolio.

MARKET REVIEW AND PORTFOLIO ACTIVITY
In January 2016, credit markets were shaky again, with a negative performance from corporate credit bonds and both the US and the European loan markets.

In January, Volta received the equivalent of €5.1m in interest and coupons (non-Euro amounts translated into 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 €15.9m.

In early January, Volta sold 2 USD CLO debt tranches (at an average projected yield of Libor+350bp) and received the principal payment from one Euro CLO debt tranche for a total of €7.2m. These funds were reinvested in February at significantly wider spreads (Libor + 975bp on average). For several months, we have redeemed and sold CLO 1.0 debt tranches, replacing them with higher yielding CLO 2.0 tranches.

Cash or cash equivalent instruments at the end of January totalled €16.7m. The cash flows received from our assets have increased in the most recent months and should continue to do so,

Despite the significant stress in credit and equity markets over the past 6 months, this has not been reflected materially on the Company's Estimated NAV which, with a fall of 4.8% between the end of July 2015 and end of January 2016 has exhibited relative stability. This has been achieved thanks to the relatively conservative approach adopted over recent years, combined with the breadth and flexibility of mandate available to Volta, which enables us to be selective and opportunistic. That has been reflected in alpha relative to both opportunity set and peer group.

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.

Announcement of election of Home Member State

EU Directives 2004/109/EC, 2007/14/EC and 2013/50/EU, which are frequently referred to together as the EU Transparency Directive ("EUTD") require issuers of securities listed on an EU regulated market to publicly disclose their Home Member State. In accordance with the EUTD, Volta hereby discloses that its Home Member State is the Netherlands.

* It should be noted that approximately 11.0% of Volta's NAV 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. As at 31 January 2016, the most recently available fund NAV was as at 31 December 2015 for 10.4% of Volta's NAV and as at 30 September 2015 for 0.6% of Volta's NAV.

** "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.