Volta Finance Limited (VTA) - December 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, 19 January 2017

AXA IM has published the Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") monthly report for December. The full report is attached to this release and is available on Volta's website (www.voltafinance.com).

PERFORMANCE and PORTFOLIO ACTIVITY
In December, Volta's Estimated NAV* performance was 1.4% including the December dividend payment (€0.16 per share). It is in line with a positive performance in most credit and equity markets.

For 2016, the NAV performance was 15.2%, adjusting for the April, September and December dividend payments. This good performance was mostly due to the strong performance of the CLO Equity and CLO debt buckets. The rest of the portfolio provided diversification and stability to the portfolio as illustrated by the relatively modest drawdown of Volta's NAV in Q1 2016. Our ability to rotate the portfolio through the year was also key in producing such a performance.

In December, Volta purchased two positions (one Euro CLO Equity and one Bank Balance Sheet transaction) for a total of €16.1m and sold four positions (3 CLO debt tranches and the remaining UK non-conforming residual position) for a total of the equivalent of €14.0m. On average and based on standard market assumptions, the purchases were executed with an average expected yield close to 12.5% and the sales were traded with an average expected yield of close to 6.5%.

At the end of December 2016, Volta's Estimated NAV* was €306.4m or €8.39 per share. The GAV stood at €351.4m.

In December, mark-to-market variations** of Volta's asset classes were: +0.2% for Synthetic Corporate Credit deals; +1.5% for CLO Equity tranches; +2.2% for CLO Debt tranches, -0.4% for Cash Corporate Credit deals; and -0.1% for ABS.

In December, Volta generated the equivalent of €1.1m in interest and coupons net of repo costs (non-euro amounts translated into euro using end-of-month cross currency rates), bringing the total cash amount generated during the last six months in terms of interest and coupons net of repo costs to €14.6m.

Cash holdings or cash equivalent instruments at the end of December totaled €16.0m and we expect to invest in some recent transactions, including some Bank Balance Sheet transactions, in early 2017.

On top of that, considering the significant rally that occurred on CLO debt tranches since the summer, we expect to continue selling some of the old debt positions and buying more recently issued ones as well as CLO Equity positions in order to increase the projected yield of the portfolio.

Again this month, the US Dollar appreciated somewhat against the Euro which is beneficial to Volta as the US Dollar exposure is in the area of 26%.

In November and December we added some duration through the US 5YR Note Future. At the time of writing this report we took some profits on this position that represents circa 0.75 year of duration. AXA IM believes that fixed rate exposure (at a reasonable interest rate level) can provide a good hedge against further potential economic disappointments.

We continue to see opportunities in several structured credit sectors including mezzanine and equity tranches of CLOs and Bank Balance Sheet transactions.

* It should be noted that approximately 10.9% of Volta credit sectors including mezzanine and equity tranches of CLOs and Bank Balance Sheet transactions.s circa 0.75 year of duration. AXNAV 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 0.9% of Volta's GAV and as at 30 November 2016 for 10.0% 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.