XEA - De Beleggersadviseur

Guernsey, 20 July 2011 - 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 Finance Limited's financial website (www.voltafinance.com).
Gross Asset Value'
At 30.06.11 At 31.05.11
Gross Asset Value (GAV / €) 146,544,185 152,827,868
GAV per share (€) 4.76 4.96

At the end of June 2011, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €146.5m or €4.76 per share, a decrease of €0.20 per share from €4.96 GAV per share at the end of May 2011.

The June mark-to-market variations* of Volta Finance's asset classes have been: -12.5% for ABS investments, -2.4% for mezzanine of CDO investments, -1.7% for residuals of CDO investments and -5.9% for Corporate Credit investments. The decrease of the GAV in June reflected the overall widening of credit spreads in conjunction with the deepening of the European sovereign debt crisis as well as the decrease in value for one position held in a German Small and Medium Enterprise loans deal (Promise Mobility).

Volta's assets generated the equivalent of €0.9m of cash flows in June 2011 (non-euro amounts converted into euro using end-of-month cross currency rates and excluding principal payments from debt assets) bringing the total cash generated during the last six months to €11.8m. This amount can be compared with the amount of €10.2m for the previous six-month period ended in December 2010 (the most recent period which is comparable considering the seasonality of payments).

In June, the Company bought 2 USD mezzanine debt tranches of CLOs for the equivalent of €2.7m (Battalion 20007-1 - E, MDPK 2007-6 - E). No asset was sold.
At the end of June, Volta held €1m in cash excluding €0.8m received from margin calls in respect of its currency hedge positions. Considering the pace at which cash flows are generated Volta could be considered as fully invested at the end of June.

MARKET ENVIRONMENT
In June, credit spreads continued to widen in Europe and in the US. It reflected the deepening of the European sovereign debt crisis as well as the uncertainties relative to the pace of growth for G8 economies. The spread of the 5y European iTraxx index and of the 5y iTraxx European Crossover Index (series 15) widened, respectively, from 103 and 373 bps at the end of May to 106 and 394 bps at the end of June. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 16), went from 90 to 93 bps at the end of June 2011. According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans decreased from 95.63% to 95.07%.**

Overall, the tensions that had appeared since March started to affect structured finance markets in June. On average, prices are back to end of April levels and there was a reversal in the increase in activity that had persisted for several quarters.

VOLTA FINANCE PORTFOLIO
In June, no particular event materially affected the situation of the Corporate Credit holdings. However, it should be mentioned that the first-loss positions in Jazz III and ARIA III remain highly sensitive to any credit event that could occur. As already disclosed in the May 2011 Interim Management Statement of the Company, two positions (ARIA III and the first loss positions in Jazz III) would be directly affected by a default on Greece's Government debt. Under reasonable assumptions the cost of such default should be close to 2% of Volta's GAV. At the end of June, the average price of all the assets in this bucket (the first loss positions plus three other corporate credit positions (initially rated AAA and A tranches)) decreased from an average price of 50.9% to 50.0%.

As regards the Company's investments in residual and mezzanine debt of CDOs, at the end of June, from a total of 52 positions in residual or mezzanine debt of CDOs, two of the residual positions (Carlyle IX and Northwoods VIII) are still unable to pay their coupon due to over collateralisation test breaches. The 50 other positions are currently paying. No particular event materially affected the situation of these positions.

At the end of June the 39 mezzanine debt tranches of CDOs (37 tranches of CLOs, 1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), totalling the equivalent of €100.5m of principal amount, were valued at an average price of 72.7% of par; the 12 classic residual tranches of CLOs, totalling the equivalent of €49.5m of principal amount, were valued at an average price of 66.6%; the rest of the bucket, one loan fund, for the equivalent of €11m of principal amount, was valued at 89% of par.

As regards the Company's ABS investments, at the end of June, the price of Promise Mobility has been adjusted to take into account the information from Promise Mobility 2006-1 latest report showing a significant increase in the number of credits that entered the work out process. Even though most of these credits are secured loans (expected recovery should be high), the cumulative credit events for this deal are now just in line with our initial 2007 expectations. Any further significant deterioration would lead the Company to change the original assumptions used to value this asset and to impair it. The very special situation of IKB, which manages this deal, adds further uncertainties to the future performance of this asset which represents 3.2% of Volta's end of June GAV. It should be noted that Volta already have received 62.4% of the amount invested in this position, in 2007, and this position is currently priced at 48.5% of remaining principal (80% of the original principal) reflecting most of the uncertainties that currently weigh on this deal.

With regards to the Company's UK non-conforming positions, some cashflows resumed being paid to Volta thanks mostly to the continuing low interest rate policy from the BoE. K£350 has been received during the last 3 months from 6 positions valued K£130 three months ago. The stringent economic environment and negative outlook in the UK makes it hard to predict whether the latest good trend will continue. We will continue to price these positions based on conservative assumptions. End of June valuation of the 6 UK non-conforming positions held by Volta was a total of K£245.

The Company considers that opportunities could arise in several structured credit sectors in the current market environment. Amongst others, mezzanine tranches of CLOs and of European ABS as well as tranches of Corporate Credit portfolios could be considered for investments. Volta is also considering investing in regulatory bank capital transactions through a fund that AXA IM Paris is launching presently to seize this kind of opportunity. Potential investments could be made depending on the pace at which market opportunities could be seized and cash is available. The Company is also in the position to sell some assets at yields below Volta's target in order to reinvest the sale proceeds depending on market opportunities.

* "Mark-to-market variation" is calculated as the Dietz-performance of the assets in each bucket, taking into account the MtM 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.

** Index data s ource: Markit, Bloomberg.

(Full monthly report in attachment or on www.voltafinance.com)