Guernsey, 26 September 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 ValueAt 31.08.11 At 29.07.11
Gross Asset Value (GAV / €) 135,967,283 145,261,103
GAV per share (€) 4.41 4.72

At the end of August 2011, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €136.0m or €4.41 per share, a decrease of €0.31 per share from €4.72 GAV per share at the end of July 2011.

Year to date performance of Volta's assets, as of the end of August, including April dividend payment and according to the GAV, is a positive 8.2%. It compares well to most credit or equity markets.

The August mark-to-market variations* of Volta Finance's asset classes have been: +4.9% for ABS investments, -4.3% for mezzanine of CDO investments, -0.5% for residuals of CDO investments and -14.8% for Corporate Credit investments. The decrease of the GAV in August 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.

Volta's assets generated the equivalent of €2.7m of cash flows in August 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 €12.4m. This amount can be compared with €10.4m for the previous six-month period ended in February 2011 (the most recent period which is comparable considering the seasonality of payments).

Overall it could be noted that despite the increase of uncertainties, Volta's assets continue generating strong cash flows (August 2011 cash flows was a 2 year and a half high) and that decreases in marks observed in August reflected an orderly and rational link between the prices of structured finance assets like the ones held by Volta and underlying credit assets. For some assets, typically residual tranches of CLO, the current decrease in average prices, almost entirely compensated by payments in August, reflected the confidence of CLO market players in the intrinsic capabilities of such asset to perform rather well despite the deterioration of the overall environment.

In August, the Company settled the €5m investment committed at the end of July (Bank Capital Opportunity Fund), purchased four different tranches of CLOs (Laurelin 2X-D, Oryx 1X-D, Clare Island IV-B and Black Rock SISC 2004-D1) for €2.5m and took the opportunity of the widening in corporate credit spreads to commit €3m in a corporate credit bespoke tranche (Cadenza) that should settle the 22nd of September.



At the end of August, Volta held €3m in cash excluding €1.7m received from margin calls in respect of its currency hedge positions. Considering the pace at which cash flows are generated, the commitment already made and the necessity to keep cash available for next dividend payment Volta could be considered as fully invested.



MARKET ENVIRONMENT



In August, 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 117 and 438 bps at the end of July to 153 and 646 bps at the end of August. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 16), rose from 95 to 115 bps at the end of August 2011. According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans strongly decreased from 94.89% to 90.56%.**



Overall, the tensions that have been present in most markets since March have affected structured finance markets since June. On average, prices are back to beginning of the year levels.

VOLTA FINANCE PORTFOLIO
In August, 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. At the end of August, 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 45% to 39% reflecting the widening of credit spreads.

As regards the Company's investments in residual and mezzanine debt of CDOs, at the end of August, from a total of 53 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 52 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 August the 40 mezzanine debt tranches of CDOs (38 tranches of CLOs, 1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), totalling the equivalent of €98.9m of principal amount, were valued at an average price of 64% 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 62%; the rest of the bucket, one loan fund, for the equivalent of €11m of principal amount, was valued at 85% of par.

As regards the Company's ABS investments, at the end of August, nothing special affected these assets in August.

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 has been seized by the Company to invest most of the cash available. Depending on market opportunities, the Company is also in the position to take advantage of current volatility in prices to sell some assets in order to reinvest the sale proceeds on asset representing, at the time of purchase, a better opportunity for the Company.

* "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