Volta Finance Limited

Estimated Net Asset Value as at 31 January 2018 - Seite 2

For Volta, which can only invest in CLOs satisfying the European risk retention rules, it would mean that we would return towards the situation experienced in 2014/2015: having to convince US CLO managers to issue CLO satisfying the European risk retention rules although they aren't forced to comply with similar obligations in the US. This worked reasonably satisfactorily in the past.  We will provide further information in future monthly reports as there is many options available to be able to continue seizing USD CLO opportunities for Volta.

In January Volta made one single investment (a BB tranche of USD CLO) for the equivalent of €3.2m. Under market standard assumptions this tranche is expected to yield near 8.5%.

Since the end of January, Volta opened a new USD CLO warehouse in order to secure a further investment in a USD CLO Equity tranche. Another CLO warehouse is expected to be opened in Europe in March.

This is in line with our global view that we have reached the right point in the cycle to increase our exposure to CLO Equity tranches, given the ability to lock in a low cost of debt and being more and more convinced that we broadly reached the end of the credit spread tightening cycle. CLO equity tranches being long term leveraged positions benefit from spread widening in the underlying loan market.

At the end of January 2018, Volta's Estimated NAV was €303.1m or €8.29 per share. The GAV stood at €345.6m.

*It should be noted that approximately 12.4% of Volta's GAV comprises investments in funds for which the relevant NAVs as at the month-end date are normally available only after Volta's NAV has already been published. Volta's policy is to publish its own NAV on as timely a basis as possible in order to provide shareholders with Volta's appropriately up-to-date NAV information. Consequently, such investments in funds are valued using the most recently available NAV for each fund. The most recently available fund NAV was for 12.4% as of 29 December 2017.

** "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.