VOLTA FINANCE - NOVEMBER MONTHLY REPORT - Seite 2

At the end of November, Volta held €13.0m in cash. Taking  account of unsettled commitments as well as the dividend payment to be made in December, Volta can be considered as being fully invested as of the end of November.

MARKET ENVIRONMENT

In November 2014, credit market spreads tightened both in Europe and in the US :  the 5 year iTraxx European Main index and 5 year iTraxx European Crossover Index (series 22) spreads went respectively from 65 and 354 bps at the end of October 2014 to 58 and 319 bps at the end of November 2014. In the US, in the same vein, the 5y CDX main index (series 23) tightened from 64 to 61 bps.  According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans was as well increasing from 97.61% at the end of October 2014 to 97.78% at the end of November 2014. In Europe, the price of the S&P European Leveraged Loan Index increased from 97.35% to   97.51%. **

During the first 3 weeks of December all the spread compression/price increase detailed above reverted and at the time of writing this report spread are wider than what they were at the end of October.

VOLTA FINANCE PORTFOLIO

In November 2014, no particular event materially impacted any of Volta's assets.

Regarding the CLO warehouse Volta invested in during June, it is worth mentioning that the CLO priced the 18th of December with an expected closing the 21^st of January.

However, at a point in time at which most of people investing in credit markets are questioning their exposure to the Oil and Gas sub-sectors it worth mentioning the following points :

• Energy sector (most of it is Oil&Gas producers or servicers) represents 4 to 4.5% of the loan market outstanding (depending on which index you looked at). The same sector represents 13 to 15% of the High Yield Bond market;
• Looking through all the USD CLO positions owned by Volta, the underlying exposures to Oil&Gas is in the area of 2.4%, considering the latest trustee reports available at the end  of November.

                   
When purchasing CLO tranches for Volta we do expect default to occur in the underlying loan portfolios. Considering the weight of the Oil&Gas sub-sector in the CLOs held by Volta an increase of the default rate for this sub-sector shouldn't have direct material consequences.

We continue to see opportunities in several structured credit sectors including mezzanine or equity tranches of CLOs, RMBS tranches as well as tranches of Cash or Synthetic Corporate Credit portfolios.