Volta Finance Limited

Estimated Net Asset Value as at 31 January 2018

Volta Finance Limited (VTA) - January 2018 monthly report

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

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Guernsey, 19 February 2018

AXA IM has published the Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") monthly report for January. The full report is attached to this release and will be available on Volta's website shortly (www.voltafinance.com).

PERFORMANCE and PORTFOLIO ACTIVITY

In January, Volta's Estimated NAV* performance was -0.4%.

Once again, the monthly performance was negatively impacted by weakness in the US dollar.  The Company's exposure to the US dollar was in the region of 35% during the month and the dollar depreciated by 3.2% against euro.  The performance of the underlying assets was strong as illustrated, for example, by the strong cash flows received again in January and by the mark-to-market performance of its CLO tranches in January.

In January, Volta generated the equivalent of €5.6m in interest and coupons net of repo costs (non-euro amounts translated into euro using end-of-month cross currency rates). This brings the total cash amount generated during the last six months in terms of interest and coupons to €17.4m (representing an annualised yield of 11.5% of the Estimated NAV).

In January, mark-to-market performances of Volta's asset classes were: +0.1% for Bank Balance Sheet Transactions; +2.5% for CLO Equity tranches; +1.2% for CLO Debt tranches, 0.0% for Cash Corporate Credit deals and +0.2% for ABS.

On February 9th, the US Court of Appeals for the District of Columbia ruled in favour of the US Loan Syndications and Trading Association in its lawsuit against the US Securities and Exchange Commission (SEC) and the Board of Governors of the Federal Reserve System (FRB) over the application of the US credit risk retention requirements to managers of open-market collateralized loan obligations. The Court stated that managers of "open-market CLOs" (i.e. broadly syndicated CLOs) are not subject to the risk retention rules under Dodd-Frank regulation.  Those rules require the securitiser of an asset-backed security to retain, on an unhedged basis, at least 5% of the credit risk of any issuance. Although the SEC and the FRB could theoretically petition for rehearing, the market views that as unlikely and that, if they did, it would be unlikely that a rehearing would be granted. In Europe there has been no sign that the retention rule would be abandoned or softened for CLOs (at least for the next few years). Therefore, going forward, the share of US CLOs satisfying the European retention requirement will decrease (from almost 45% in 2017).