Guernsey, 22 October 2015
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES.
PERFORMANCE
At the end of September 2015, the Estimated NAV of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €293.0m or €8.02 per share, a decrease of €0.14 per share, or -1.7%, since the end of August 2015.

The YTD NAV performance for the 2015 calendar year, including the April dividend paid, stands at +8.6% as at the end of September.

The GAV stood at €337.4m at the end of September. The GAV has increased by €9.5m since the end of August, despite the decrease in Estimated NAV during the month, as Volta has borrowed a further USD15m under the repurchase agreement it has with Societe Generale. The total amount of debt raised by Volta through this repurchase agreement reached, at the end of September, USD45m (€40.3m). This additional sum enabled Volta to take advantage of some spread widening in September to purchase new assets.

MARKET REVIEW AND PORTFOLIO ACTIVITY
In September, credit markets were still digesting the spike in volatility that occurred amongst most equity markets in August. Credit spreads continued to widen and structured finance assets were not immune.

That said, the impact on structured finance markets in which Volta invests is still relatively modest as illustrated by the monthly performances that were observed: September mark-to-market variations* of Volta's asset classes were: -0.7% for Synthetic Corporate Credit deals; -2.3% for CLO Equity tranches; -1.2% for CLO Debt tranches; -0.9% for Cash Corporate Credit deals; and, +1.5% for ABS.

In September, Volta purchased 3 assets: a Bank Balance Sheet transaction (Start 10), a USD equity piece of CLO (ACAS 2014-2 Sub) and the BB rated debt tranche of a USD CLO (ACAS 2015-2 E) for a total of €9.3m. Under reasonable hypotheses, the average projected yield for these 3 assets was close to 9.5%.

At the end of September, Volta could be considered as having approximately €10m to deploy.

In September, Volta received the equivalent of €1.7m in interest and coupons (non-Euro amounts translated into Euro using end-of-month cross currency rates) bringing the total cash amount received in terms of interest and coupons during the last six months to €14.7m.

In September 2015, no particular event materially impacted any of Volta's assets. In Volta's portfolio there are still some short-term instruments (some old debt tranches of CLOs mainly) that are very insensitive to the kind of volatility that was observed in August and September. This kind of situation is likely to be an opportunity to accelerate the rotation of the portfolio from these old debt assets into more sensitive assets that could be purchased at a lower price/ higher discount margin.

We continue to see opportunities in several structured credit sectors including mezzanine or equity tranches of CLOs, CMVs (Capitalized Manager Vehicles: structures that permit issuing CLOs satisfying the retention rule), RMBS tranches as well as tranches of Cash or Synthetic Corporate Credit portfolios.

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