- Volta Finance Limited (VTA) - October 2016 monthly report
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
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Guernsey, 21 November 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 October, Volta's Estimated NAV1 performance was 2.0%, in line with modest positive performance in most credit markets.

As at the end of October, the YTD NAV performance was 10.9%, adjusting for the April and September dividend payments. After 12.4% in 2014 and 10.0% in 2015, 2016 is so far another good year for Volta and its shareholders.

In October, Volta purchased two CLO Equity positions in the secondary market (one USD and one Euro tranche) for a total of the equivalent of €4.3m and sold two positions (one ABS Debt asset and one emerging market credit CDO) for a total of the equivalent of €6.1m. On average and based on standard market assumptions, the purchases were executed with an average expected yield close to 10.5% and the sales were traded with an average expected yield of close to 5%.

At the end of October 2016, Volta's Estimated NAV1 was €300.1m or €8.21 per share. The GAV stood at €342.3m.

In October, mark-to-market variations2 of Volta's asset classes were: -0.4% for Synthetic Corporate Credit deals; +3.0% for CLO Equity tranches; +0.4% for CLO Debt tranches, +1.9% for Cash Corporate Credit deals; and, -0.1% for ABS.

In October, Volta generated the equivalent3 of €6.0m in interest and coupons net of repo costs, bringing the total cash amount generated during the last six months in terms of interest and coupons during the last six months to €15.8m.

Cash holdings or cash equivalent instruments at the end of October totaled €10.6m and the Company can be considered as almost fully invested. Considering the significant rally that occurred on CLO Debt tranches during the summer, AXA IM expects to continue selling some of its old positions and buying more recently issued deals in order to increase the projected yield of the portfolio.

Since the end of October, the US Dollar appreciated somewhat against the Euro which was beneficial to Volta as the US Dollar exposure was in the area of 30%. US mid and long term rates have increased toward levels unseen for some time and Volta added some duration in mid-November through the US 5YR Note Future. AXA IM believes that fixed rate exposure (at a reasonable level) can provide a good hedge against further potential economic disappointments.

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.

Volta announced its next quarterly dividend payment: €16 cents per share to be paid on 22 December 2016, bringing the total dividend payments for 2016 to €62 cents per share (a yield of 8.7% based on the end of October 2016 share price.

1 It should be noted that approximately 10.9% 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: 30 September 2016 for 7.5% of Volta's GAV and as at 31 August 2016 for 3.4% of Volta's GAV.

2 "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.

3 Non-euro amounts translated into euro using end-of-month cross currency rates.