Volta Finance Limited

Net Asset Value as at 30 September 2017

Volta Finance Limited (VTA) - September 2017 monthly report

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

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Guernsey, 20 October 2017

AXA IM has published the Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") monthly report for September. 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 September, Volta's Estimated NAV* performance was +0.6% including the dividend payment made on the 28^th of September.

During the month, Volta purchased one asset (a bank balance sheet transaction) for the equivalent of €6.8m with an average projected yield close to 12% under standard assumptions. The equivalent of €15.3m was received from 3 CLO Debt positions being called.

The CLO market was again very active with a pursuit of CLO debt spread tightening. It can be reasonably expected that spreads on CLO debt tranches will continue to tighten to the benefit of CLO equity positions. Volta is still considering increasing its CLO equity bucket in this favourable environment, at the detriment of its CLO debt bucket.

It is worth mentioning that bank balance sheet transactions are relatively isolated from the overall environment of spread compression that exist for some quarters. Considering the diversification benefit that this kind of transactions provide to Volta portfolio, we should continue increasing the allocation to this bucket.

At the end of September 2017, Volta's Estimated NAV* was €302.8m or €8.28 per share. The GAV stood at €345.3m.

In September, mark-to-market variations of Volta's asset classes were: +0.6% for Synthetic Corporate Credit deals; 0.0% for CLO Equity tranches; +0.8% for CLO Debt tranches, -1.6% for Cash Corporate Credit deals; and +2.1% for ABS.

In September, Volta generated the equivalent of €0.8m 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 €15.8m.

Due to the significant amounts received in September cash holdings or cash equivalent instruments at the end of September totalled €33.3m. It is expected that most of this cash will be deployed in a few weeks.

*It should be noted that approximately 11.6% 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 as at: 30 June 2017 for 2.3% of Volta's GAV and at 31 August 2017 for 9.3% of Volta's GAV.