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Tuesday 21 February, 2012

Volta Finance Limited

VOLTA FINANCE - JANUARY MONTHLY REPORT

VOLTA FINANCE - JANUARY MONTHLY REPORT

NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES

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Guernsey, 21 February 2012 - Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") has published its December 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 31.01.12At 30.12.11
Gross Asset Value (GAV / € million)139.8139.1
GAV per share (€)4.524.51

At the end of January 2012, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €139.8 m or €4.52 per share, an increase of €0.01 per share from €4.51 GAV per share at the end of December 2011. Taking into account the €22 cents per share dividend paid in January, the GAV increased by €0.23 in January 2012.

After a 2011 +10.3% annual performance of Volta's assets mostly due to the actual cash flows received from the assets, 2012 starts the year with a positive 4.2% increase.

The January mark-to-market variations* of Volta Finance's asset classes have been: +2.3% for ABS investments, +6.0% for mezzanine of CDO investments, +4.4% for residuals of CDO investments and +8.8% for Corporate Credit investments. The GAV increase in January was in line with positive credit markets in January.

Volta's assets generated the equivalent of €2.2m of cash flows in January 2012 (non-Euro amounts converted to 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 €15.4m. This amount can be compared with €11.9m for the previous six-month period ended in July 2011 (the most recent comparable period considering the seasonality of payments).

In January 2012, two assets were sold (Hermes 17-E and most of the Start 2010-6X position) by the Company for a combined amount equivalent to €2.5m.

At the end of January, Volta held €3.8m in cash, including €1.2m posted in respect of the currency hedge. Considering the pace at which cash flows are generated and the necessity to keep cash available for the next dividend payment in April, Volta's capacity for new investments is limited to a few million euros.

MARKET ENVIRONMENT

In January 2012, credit spreads tightened significantly in Europe and in the USA reflecting some improvement regarding the economic situation in the US and less uncertainties regarding the Euro sovereign crisis. The spread of the 5y European iTraxx index and of the 5y iTraxx European Crossover Index (series 16) decreased, respectively, from 173 and 755 bps at the end of December 2011 to 143 and 620 bps at the end of January 2012. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 17), went from 120 to 103 bps at the end of January 2012. According to the CSFB Leverage Loan Index, the average price for USA liquid first lien loans modestly increased from 92.19% to 93.60% at the end of January 2012.**

Overall, with the various tensions and uncertainties that weighted on risky assets over the last 12 months, Volta's prices are slightly below what they were one year ago. At the same time 6-month rolling cash flows received from our assets increased from €10.3m to €15.4m (close to one euro per share on an annual basis). Any easing in tensions and uncertainties should benefit Volta's assets valorisation as has been the case in this first month of the year.

VOLTA FINANCE PORTFOLIO

In January 2012, no particular event materially affected the situation of the Corporate Credit holdings. However, it should be remembered that the first-loss positions in Jazz III and ARIA III remain highly sensitive to any credit event, especially to financial debts considering the significant exposures to bank debt held through these positions. As already mentioned, both assets are exposed to the Hellenic Republic through CDS.

However, a default of Greece would have a limited direct impact on Volta's GAV as such default has been priced in for months (Indirect consequences on the rest of the portfolio however are difficult to quantify).

At the end of January, the average price of the assets in Corporate Credits (using end of period numbers) increased from 38.8% to 42.2% in line with the tightening observed in credit markets.

As regards the Company's investments in residual and mezzanine debt of CDOs, at the end of January 2012, all 53 positions in residual or mezzanine debt of CDOs are currently paying their coupons. No particular event materially affected the situation of these positions.

At the end of January 2012 the 40 mezzanine debt tranches of CDOs (38 tranches of CLOs, 1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), were valued at an average price of 62% of par against 59% at the end of December 2011; the 12 classic residual tranches of CLOs were valued at an average price of 62% against 59% one month earlier; the remaining asset, the Tennenbaum loan fund was valued at 77% of par.

As regards the Company's ABS investments, at the end of January 2012, nothing special affected the main position (Promise Mobility) or the other investments in this bucket (6 UK non-conforming residual positions).

The Company considers that opportunities could arise in several structured credit sectors in the current market environment. Amongst others, mezzanine tranches of CLOs and 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 may aim at taking 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, what the Company considers a better opportunity.

* "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)

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ABOUT VOLTA FINANCE LIMITED

Volta Finance Limited is incorporated in Guernsey under the Companies (Guernsey) Laws, 1994 to 1996 (as amended) and listed on Euronext Amsterdam. Its investment objectives are to preserve capital and to provide a stable stream of income to its shareholders through dividends. For this purpose, it pursues a multi-asset investment strategy targeting various underlying assets. The assets that the Company may invest in either directly or indirectly include, but are not limited to: corporate credits; sovereign and quasi-sovereign debt; residential mortgage loans; automobile loans. Volta Finance Limited's basic approach to its underlying assets is through vehicles and arrangements that provide leveraged exposure to some of those underlying assets.

Volta Finance Limited has appointed AXA Investment Managers Paris, an investment management company with a division specialised in structured credit, for the investment management of all its assets.

ABOUT AXA INVESTMENT MANAGERS

AXA Investment Managers (AXA IM) is a multi-expert asset management company within the AXA Group, a global leader in financial protection and wealth management. AXA IM is one of the largest European-based asset managers with €514 billion in assets under management as of the end of June 2011. AXA IM employs approximately 2,389 people around the world and operates out of 21 countries.

CONTACTS

Company Secretary

State Street (Guernsey) Limited

volta.finance@ais.statestreet.com

+44 (0) 1481 715601

Portfolio Administrator

Deutsche Bank

voltaadmin@list.db.com 

For the Investment Manager

AXA Investment Managers Paris

Serge Demay

serge.demay@axa-im.com

+33 (0) 1 44 45 84 47

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This press release is for information only and does not constitute an invitation or inducement to acquire shares in Volta Finance. Its circulation may be prohibited in certain jurisdictions and no recipient may circulate copies of this document in breach of such limitations or restrictions.

 

This press release is not an offer of securities for sale in the United States.  Securities may not be offered or sold in the United States absent registration with the United States Securities and Exchange Commission or an exemption from registration under the U.S. Securities Act of 1933, as amended (the "Securities Act").  Volta Finance has not registered, and does not intend to register, any portion of any offering of its securities in the United States or to conduct a public offering of any securities in the United States.

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This document is being distributed by Volta Finance Limited in the United Kingdom only to investment professionals falling within article 19(5) of the Financial Services and Market Act 2000 (Financial Promotion) Order 2005 (the "Order") or high net worth companies and other persons to whom it may lawfully be communicated, falling within article 49(2)(A) to (E) of the Order ("Relevant persons"). The shares are only available to, and any invitation, offer or agreement to subscribe, purchase or otherwise acquire the shares will be engaged only with, relevant persons. Any person who is not a relevant person should not act or rely on this document or any of its contents. Past performance cannot be relied on as a guide to future performance.

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This press release contains statements that are, or may deemed to be, "forward-looking statements". These forward-looking statements can be identified by the use of forward-looking terminology, including the terms "believes", "anticipated", "expects", "intends", "is/are expected", "may", "will" or "should". They include the statements regarding the level of the dividend, the current market context and its impact on the long-term return of Volta's investments. By their nature, forward-looking statements involve risks and uncertainties and readers are cautioned that any such forward-looking statements are not guarantees of future performance. Volta Finance's actual results, portfolio composition and performance may differ materially from the impression created by the forward-looking statements. Volta Finance does not undertake any obligation to publicly update or revise forward-looking statements.

Any target information is based on certain assumptions as to future events which may not prove to be realised. Due to the uncertainty surrounding these future events, the targets are not intended to be and should not be regarded as profits or earnings or any other type of forecasts. There can be no assurance that any of these targets will be achieved. In addition, no assurance can be given that the investment objective will be achieved.

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Source: Volta Finance Limited via Thomson Reuters ONE

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