Guernsey, 28 November 2011 - Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") has published its Interim Management Statement. The full report is attached to this release and is available on Volta Finance Limited's financial website (www.voltafinance.com).

Dear Shareholders and Investors,
Over the quarter, from the end of July 2011 to the end of October 2011, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") went from €145.3m or €4.72 per share, to €134.4m or €4.36 per share.

During the same period, the Company settled the €5m investment committed at the end of July in one Corporate Credit deal, took the opportunity of a widening of discount margins to purchase eight assets (5 tranches of CLO and 3 Corporate Credit deals) for €8.4m and sold one lower yielding tranche of CLO for €1.3m.

During the quarter, cash flows generated by the Company's assets, excluding asset sales and principal payments from assets, amounted to €8.9m (non euro amounts being translated in euro using end of month currency rate). This amount could be compared to €7.1m for the most recent comparable 3-month period (from the end of January 2011 to the end of April 2011). The cash generated by the assets, during the quarter under review, is rather significant, close to an annual rate of 26% of Volta's asset valuation, excluding cash, at the beginning of the period (€137.2m).

As a consequence of the investments and sales made during this period and after taking into account the settlement of some expenses, the cash position in the Company's accounts went from €8.1m at the end of July 2011 to €3.5m at the end of October 2011. This latest amount excluded €0.8m received for margin calls linked to the currency hedge strategy of the Company. Since the end of October 2011 as a result of some further coupon payments and one investment of €1m, the cash position in the Company has increased to €4.4m at the time of writing.

The decrease in the GAV during the quarter is mainly due to increases in discount margins attached to structured credit products in conjunction with the significant widening of corporate credit spreads. Overall, the decrease in GAV during the 3-month period, bearing in mind the deepening of the euro sovereign crisis and the sharp downward revision in expected growth for OECD economies, could be considered as modest considering the highly leveraged exposure of the Company to underlying credit exposures.

At the time of publishing this statement, 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 AND LATEST DEVELOPMENTS
From the end of July 2011 to the end of October 2011, the 5y European iTraxx index (series 15) and the 5y iTraxx European Crossover index (series 15) widened significantly from respectively 117 and 438 bps to respectively 160 and 598 bps. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 16), increased from 95 to 116 bps at the end of October 2011. According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans, significantly declined from 94.89% to 92.44%.*

VOLTA FINANCE PORTFOLIO
Corporate Credit
Over the quarter, no event of default 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. Considering current market focus, it should be remembered that the first-loss positions in Jazz III and ARIA III are exposed, through CDS, to Republic of Greece for the same percentage (0.5% of their underlying portfolio) and to Seat Pagine Gialle. This last name represents 0.2% of Aria III's portfolio and 0.85% of Jazz III's portfolio and seems to have some difficulties refinancing its debt. If such a position was to default it will have a very limited impact on Volta's GAV as it is almost fully priced in at the end of October. It should be remembered too that the occurrence of such defaults from time to time is part of the normal life of such assets. For example, looking at Aria III, the expected loss rate based on the ratings of the underlying corporate credits in the current portfolio is 0.32% per annum. In fact, ARIA III's underlying portfolio had recorded no default for the last 3 years (since the Lehman default in September 2008).

Over the quarter, with the deepening of the euro sovereign crisis and the significant widening in corporate credit spreads to which these Corporate Credit positions are highly leveraged, the value of these two first loss positions went from €11m to €7.4m. However they generated €2.5m of interests or coupons during the quarter.

The Corporate Credit holdings that were all together valued at €22.7m at the end of July 2011 generated the equivalent of €2.6m of cash flows during the quarter and were valued at €27.8m as at the end of October 2011 (including €10.3m for the 4 assets settled or purchased during the quarter).

CDO
This bucket that accounted, at the end of July 2011 for 75.3% of the GAV, is composed of residual and mezzanine debt tranches of CLOs. During the quarter, defaults and downgrades in the underlying loan portfolios continued to occur, albeit at a slower pace than in the more recent quarters. On average over-collateralization tests and residual payments of these structures have improved during this quarter relative to the previous one.

At the end of October, 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 October the 40 mezzanine debt tranches of CDOs (38 tranches of CLOs, 1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), totaling the equivalent of €99.5m of principal amount, were valued at an average price of 59% of par; the 12 classic residual tranches of CLOs, totaling the equivalent of €51.1m of principal amount, were valued at an average price of 62%; the rest of the bucket, one loan fund, for the equivalent of €10.8m of principal amount, was valued at 82% of par.

The positions in mezzanine debt of CLOs and in residual tranches of CLOs have respectively generated the equivalent of €1.2m and €3.6m of interest or coupons during the quarter.

ABS
Promise Mobility, a residual position on a very largely diversified portfolio of small and medium German companies was representing, at the end of October 2011, 96% of this asset class. Over the quarter, nothing special affected this main position but the other investments in this bucket (6 UK non-conforming residual positions) generated €1m of cash flows from an end of July 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 October.

Promise Mobility, which was valued at €4.8m at the end of July 2011, has generated €0.4m of cash flows during the quarter and is valued at €4.9m at the end of October 2011.

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.

Unless stated otherwise, the figures in this Interim Management Statement are as at end of October 2011 as valuations are available only on a monthly basis with some delays. Between the end of October 2011 and 25 November 2011, the date of publication of this Interim Management Statement, the Company is not aware of any significant event, materially affecting the Company's financial position or the Company's controlled undertaking.

* Index data source: Markit, Bloomberg.

(Full Interim Management Statement attachment on www.voltafinance.com)