Guernsey, 19 August 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 29.07.11 At 30.06.11
Gross Asset Value (GAV / €) 145,261,103 146,544,185
GAV per share (€) 4.72 4.76

At the end of July 2011, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €145.3m or €4.72 per share, a decrease of €0.04 per share from €4.76 GAV per share at the end of June 2011.

The July mark-to-market variations* of Volta Finance's asset classes have been: +3.3% for ABS investments, -1.2% for mezzanine of CDO investments, +0.7% for residuals of CDO investments and -5.5% for Corporate Credit investments. The decrease of the GAV in July reflected the overall widening of credit spreads in conjunction with the prolongation of the European sovereign debt crisis and the overall downward revision of growth in developed economies. This lower mark has been partially offset by ongoing received cash flows.

Volta's assets generated the equivalent of €1.6m of cash flows in July 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 €11.9m. This amount can be compared with the amount of €10.3m for the previous six-month period ended in January 2011 (the most recent period which is comparable considering the seasonality of payments).

In July, the Company engaged €5m in one deal (Bank Capital Opportunity Fund, a fund managed by AXA IM Paris that invests in regulatory capital deals with banks) for which the settlement is expected to occur in the early days of September and has received €5.6m of principal from a mezzanine debt tranche of CLO that has been called (Puma E Tranche).

At the end of July, Volta held €8.1m in cash excluding €1m received from margin calls in respect of its currency hedge positions. Considering the pace at which cash flows are generated and the commitment already made Volta could be considered as having nearly €2m available for further investments.

MARKET ENVIRONMENT
In July, credit spreads continued to widen in Europe and in the US. It reflected the situation of the European sovereign debt crisis as well as the uncertainties relative to the pace of growth for developed economies. The spread of the 5y European iTraxx index and of the 5y iTraxx European Crossover Index (series 15) widened, respectively, from 106 and 394 bps at the end of June to 117 and 438 bps at the end of July. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 16), went from 93 to 96 bps at the end of July 2011. According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans decreased from 95.07% to 94.89%.**

Overall, the tensions that had appeared since March affected structured finance markets in June and July. On average, prices are back to end of April/end of March levels and the increase in primary and secondary activity that had persisted for several quarters was notably reduced.

VOLTA FINANCE PORTFOLIO

In July, 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 triggering of the Greece's Government debt CDS. The European crisis summit held in July seems to have resulted, from the time being, in a postponement in the triggering of the Greek CDS. However, under reasonable assumptions the cost of such triggering can be estimated to approximately 2% of Volta's GAV. At the end of July, 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% to 45.2%.

As regards the Company's investments in residual and mezzanine debt of CDOs, at the end of July, from a total of 51 positions in residual or mezzanine debt of CDOs, only one residual position (Carlyle IX) is still unable to pay its coupon due to an over collateralisation test breach. The 50 other positions are currently paying. No particular event materially affected the situation of these positions. As expected one position that was unable to pay for 2 years (Northwoods VIII) resumed paying a coupon in the early days of August.

At the end of July the 38 mezzanine debt tranches of CDOs (36 tranches of CLOs, 1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), totalling the equivalent of €95.3m of principal amount, were valued at an average price of 69.5% of par; the 12 classic residual tranches of CLOs, totalling the equivalent of €49.8m of principal amount, were valued at an average price of 65.2%; 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 July, the Company conducted its semi-annual review of assumptions for its assets and has decided to impair Promise Mobility taking into consideration both the recent reports on this deal and the economic situation in Europe, It will be reflected in the 31st July 2011 annual report and accounts. It should be noted that Volta already has received 62.4% of the amount invested in this position, since 2007, and this position is currently priced at 50.1% of remaining principal (which is 80% of the original principal),reflecting most of the uncertainties that currently exist on this deal.

With regards to the Company's UK non-conforming positions, nothing special affected these assets in July.

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. Potential investments could be made depending on the pace at which market opportunities could be seized and cash is available. The recent widening of discount margins can be expected to be seized by the Company to invest most of the cash 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.

The Investment Manager of the Company's asset decided in July to merge the two teams in charge of managing underlying corporate credit portfolios of structured credit vehicles or unlevered vehicles managed by AXA Structured Finance division. The Leverage Finance team managing high yield portfolios and the Structured Corporate Credit team managing predominantly investment grade exposures merged in order to leverage on a common set of standards for corporate credit research and to increase the ability to seize opportunities that should come from changes in banking regulation. This team is, amongst other things, in charge of managing the underlying credit portfolios of Jazz III, ARIA III, Adagio II and Adagio III; four deals in which Volta held some positions. The two co-heads of this new team remain members of the Volta Investment Committee within AXA Structured Finance division, which determines the investment process and asset allocation amongst the various asset classes. The Volta investment committee is comprised of the head and deputy head of AXA Structured Finance division, the heads of specialised investment teams and the manager more particularly in charge of Volta Finance's portfolio, Serge Demay, who is a member of the SCI team (Structured Credit Investment team in charge of investing in structured credit vehicles generally managed by third parties).

* "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 source: Markit, Bloomberg.
(Full monthly report in attachment or on www.voltafinance.com)