- Volta Finance Limited (VTA) - May 2016 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
***** Guernsey, 22 June 2016
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's website (www.voltafinance.com).

PERFORMANCE and PORTFOLIO ACTIVITY
In May Volta's Estimated NAV performed 1.3% in line with broader credit and equity markets in which there were no particularly strong trends as some uncertainties were coming over a possible Brexit.

Volta sold three assets (2 Euro and 1 USD CLO debt tranches) for a total of €6.7m and purchased four assets (one Swiss bank balance sheet transaction, two USD CLO debt tranches, and one Euro ABS residual position) for a total of €14.9m. The average projected yield of the purchased assets was 9.3% using standard market assumptions.

In detail, at the end of May 2016, Volta's Estimated NAV* was €275.1m or €7.53 per share. The GAV stood at €317.0m at the end of May 2016.

In May, mark-to-market variations** of Volta's asset classes were: -0.4% for Synthetic Corporate Credit deals; +2.7% for CLO Equity tranches; -0.6% for CLO Debt tranches, +0.1% for Cash Corporate Credit deals; and, -0.1% for ABS.

In May, Volta generated the equivalent of €1.7m in interest and coupons (non-euro amounts translated into euro using end-of-month cross currency rates), bringing the total cash amount generated in terms of interest and coupons during the last six months to €18.8m.

Cash holdings or cash equivalent instruments at the end of May totaled €6.4m and therefore the Company was largely fully invested. AXA IM expects to continue to rotate the portfolio from its old positions to more recently issued deals in order to increase the projected yield of the portfolio.

AXA IM continues to see opportunities in several structured credit sectors including mezzanine and equity tranches of CLOs, RMBS tranches and tranches of Cash Corporate Credit and Synthetic Corporate Credit portfolios.

SHARE PRICE
The share price has seen a strong rally in recent months, reflecting both improving conditions in the credit markets and increasing investor awareness of the Company. This has seen the discount to NAV narrow to around 9% from nearly 20% just a few months ago.

There has also been a notable increase in trading volumes in recent weeks, combined with a shift in volume to the London listing from Euronext.

* It should be noted that approximately 11.6% 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 29 April 2016 for 9.2% of Volta's GAV and as at 31 March 2016 for 2.4% 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.