Guernsey, 21 October 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 30.09.11 At 31.08.11
Gross Asset Value (GAV / €) 134,654,575 135,967,283
GAV per share (€) 4.37 4.41

At the end of September 2011, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €134.7m or €4.37 per share, a decrease of €0.04 per share from €4.41 GAV per share at the end of August 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 6.8%.

The September mark-to-market variations* of Volta Finance's asset classes have been: +26.6% for ABS investments, -7% for mezzanine of CDO investments, -0.8% for residuals of CDO investments and -4.9% for Corporate Credit investments. The decrease of the GAV in September 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 downward effect being partially compensated by a very good month in terms of received cash flows.

Volta's assets generated the equivalent of €3.1m of cash flows in September 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 €13.0m. This amount can be compared with €11.0m for the previous six-month period ended in March 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 (September 2011 cash flows was a two and a half year high) and that decreases in marks observed in August and September 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, was almost entirely compensated by payments in September, reflecting the confidence of CLO market players in the intrinsic capabilities of such assets to perform rather well despite the deterioration of the overall environment.

In September, the Company purchased three different assets: two Corporate Credit deal (Start 2010 6X - A, Corsair 06/2015) for €2.9m and one tranche of CLO (Regent Park 1X - E) for €0.5m. One asset (Green Lane 2004 1A - C) was sold for the equivalent of €1.3m.

At the end of September, Volta held €1.5m in cash excluding from the cash position €0.1m received from margin calls in respect of its currency hedge positions and €2.0m due to brokers in relation to the end of September trades. Considering the pace at which cash flows are generated and the necessity to keep cash available for the next dividend payment, Volta could be considered as fully invested.

MARKET ENVIRONMENT
In September, 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 153 and 646 bps at the end of August to 198 and 757 bps at the end of September. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 16), rose from 115 to 134 bps at the end of September 2011. According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans remained depressed at 90.35% compared to 90.56% at the end of August.**

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 the end of 2010 levels.

VOLTA FINANCE PORTFOLIO
In September, 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, especially to financial debts considering the significant exposures to bank debt that is gained though these positions. At the end of September, the average price of all the assets in this bucket (the three first loss positions three other corporate credit positions (initially rated AAA and A tranches) and the two most recent junior tranches purchased) was 42.5%.

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.

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 €101.2m of principal amount, were valued at an average price of 58% of par; the 12 classic residual tranches of CLOs, totalling the equivalent of €52.7m 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 83% of par.

As regards the Company's ABS investments, at the end of September, nothing special affected the main position (Promise Mobility) but the other investments in this bucket (6 UK non-conforming residual positions) generated €1m of cash flows from an end of August conservative valuation of €0.3m. These cash flows are due to payments of arrears at the underlying mortgages level that are particularly difficult to foresee. These 6 positions were still conservatively valued at €0.2m as of the end of September.

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 upon 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 assets 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