Volta Finance Limited (VTA) - June 2016 monthly report



NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATE.
Guernsey, 21 July 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 June Volta's Estimated NAV declined by -0.9% following the broad retrenchment in most credit and equity markets in the wake of the Brexit vote. At the time of publishing this report prices have rebounded significantly from the end of June marks

Volta purchased three assets in June (1 Euro CLO debt tranche, 1 USD BB-rated CLO debt tranche and 1 European CLO equity tranche) for a total of €10.8m. On average and based on standard market assumptions, these purchases were yielding 9.5%. During the month one position (a USD BB-rated CLO tranche) was sold for the equivalent of €2.7m.

At the end of June 2016, Volta's Estimated NAV* was €272.6m or €7.46 per share. The GAV stood at €314.9m.

In June, mark-to-market variations** of Volta's asset classes were: +1.3% for Synthetic Corporate Credit deals; +0.4% for CLO Equity tranches; -2.9% for CLO Debt tranches, +0.3% for Cash Corporate Credit deals; and, -4.7% for ABS.

In June, Volta generated the equivalent of €1.2m 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 €18.2m.

Cash holdings or cash equivalent instruments at the end of June totaled €2.1m (taking into account some trades unsettled at the end of June) and therefore the Company can be considered as 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.

Despite the disruption to markets over the Brexit vote, the Company's share price was resilient and the discount to Estimated NAV was just over 9% at 30th June 2016. Notably, trading volumes have further shifted to the London Stock Exchange from Euronext in recent months, reflecting a broadening of the shareholder register.

On 1st July 2016, the Company announced that it had changed corporate broker and corporate finance advisor to Cenkos Securities Limited.


* It should be noted that approximately 11.7% 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: 31 May 2016 for 10.9% of Volta's GAV and as at 31 March 2016 for 0.8% 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.