Volta Finance Limited (VTA) - September 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, 20 October 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 September, Volta's Estimated NAV* performance was 1.4%, adjusting for the dividend of €0.15 per share paid in the month, in line with modest positive performance in most credit and equity markets.

As at the end of September, the year-to-date Estimated NAV* performance was 8.8%, adjusting for the April and September dividend payments. After 12.4% in 2014 and 10.0% in 2015, 2016 is expected to be another good year for Volta and its shareholders.

In September, Volta sold four positions (two USD CLO debt and two European CLO debt). On average and based on standard market assumptions, these assets were sold with expected yields close to 4.5%. During the month no assets were purchased.

At the end of September 2016, Volta's Estimated NAV* was €294.2m or €8.05 per share. The GAV stood at €335.0m.

In September, mark-to-market variations** of Volta's asset classes were: +1.2% for Synthetic Corporate Credit deals; +1.8% for CLO Equity tranches; +1.7% for CLO Debt tranches, +1.8% for Cash Corporate Credit deals; and, +0.7% for ABS.

In September, Volta generated the equivalent*** of €1.0m 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 (net of Repo costs) during the last six months to €14.4m.

Cash holdings or cash equivalent instruments at the end of September totaled €8.0m 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.

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.

* It should be noted that approximately 11.1% 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 August 2016 for 10.3% of Volta's GAV and as at 30 June 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.

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