VOLTA FINANCE - SEPTEMBER MONTHLY REPORT
(Thomson Reuters ONE) -
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO
THE UNITED STATES
*****
Guernsey, 21 October 2010 - Volta Finance Limited (the "Company" or "Volta
Finance" or "Volta") has published its 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 30.09.10 | At 31.08.10 |
+-----------------------------+-------------+-------------+
| Gross Asset Value (GAV / ?) | 107,440,977 | 103,550,147 |
+-----------------------------+-------------+-------------+
| GAV per share (?) | 3.54 | 3.42 |
+-----------------------------+-------------+-------------+
At the end of September 2010, the Gross Asset Value (the "GAV") of Volta Finance
Limited (the "Company", "Volta Finance" or "Volta") was ?107.4m or ?3.54 per
share, an increase of ?0.12 per share from ?3.42 per share at the end of August
2010.
The September mark-to-market variations* of Volta Finance's asset classes have
been: +0.1% for ABS investments, +9% for mezzanine of CDO investments, +3.9% for
residuals of CDO investments and +18.6% for Corporate Credit investments. The
increase of the GAV in September reflects the relatively good performance of
most of Volta's buckets.
Volta's assets have generated the equivalent of ?2.1m of cash flows in September
2010 (non-euro amounts converted into 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 ?9.8m. This amount can be compared with
the amount of ?8.4m for the previous six-month period ended in March 2010 (the
most recent period which is comparable considering the seasonality of payments).
In September, the Company bought three mezzanine debt tranches of CLOs (Adagio
II - D1, Galaxy 2007 VIII - E, LFE IV- 4), one first loss tranche of Corporate
Credit portfolio (Jazz III CDO) and one short term tranche of European ABS
(Fastnet Sec PLC A - A1) for a total of ?5m. Two assets were sold during the
monthly period (Confluent SLO and Adagio III - B) for a total of ?4.9m.
At the end of September, Volta had ?4.7m in cash net of amounts due to brokers
for settlement of late purchases at month end and including ?1.250m posted for
margin calls in respect to its currency hedge positions.
MARKET ENVIRONMENT
In September, credit spreads tightened, following the belief that upcoming
quantitative easing from the US Federal Reserve will help the US economy which
has been facing recent economic uncertainties. The spread of the 5y European
iTraxx index (series 13) and the 5y iTraxx European Crossover Index (series 13)
decreased respectively from 118 and 530 bps at the end of August to respectively
106 and 447 bps at the end of September. According to the CSFB Leverage Loan
Index, the average price for US liquid first lien loans increased from 90.26% to
91.11%.**
VOLTA FINANCE PORTFOLIO
In September, no particular event materially affected the situation of the
Corporate Credit holdings. However it should be mentioned that the first-loss
positions in Jazz III and ARIA III remain highly sensitive to any credit event
that could occur. In September, the average price of all the assets in this
bucket (the first loss positions plus three other corporate credit positions
(initially rated AAA and A tranches)) increased from an average price of 35.7%
to 38.7% reflecting the tightening of corporate credit spreads.
As regards the Company's investments in residual and mezzanine debt of CLOs, the
Company continued to invest in this area, purchasing in September two initially
rated BBB tranches and one initially rated BB tranche.
At the end of September, from a total of 47 positions in residual or mezzanine
debt of CLOs, one of the mezzanine positions (Alpstar 2A E) and two of the
residual positions (Carlyle IX and Northwoods VIII) are still unable to pay
their coupon due to over collateralisation test breaches. The 44 other positions
are currently paying.
At the end of September the mezzanine debt tranches of CLOs, totalling ?86m of
principal amount, were valued at an average price of 52.8% of par; the classic
residual tranches of CLOs, totalling ?45m of principal amount, were valued at an
average price of 40.8%; the rest of the bucket, one loan fund, totalling ?11m of
principal amount, was valued at 90% of par.
As regards the Company's ABS investments, in September, no particular event
materially affected the six UK non-conforming residual holdings nor the position
held by Volta in Promise Mobility 2006-1. Three investments in short-term euro
ABS senior tranches held by the Company to enhance its cash management amounted
to ?4.9m. One of these three positions is expected to mature in October 2010.
The Company considers that opportunities could arise in several structured
credit sectors in the current market environment. Amongst others, mezzanine
tranches of CLOs and of European ABS or senior tranches of Corporate Credit
portfolios could be considered for investments. Potential investments will be
made depending on the pace at which market opportunities could be seized and
cash is available. From time to time, as was the case three times since the
beginning of 2010 and in line with what has been described in the latest semi-
annual report of Volta, the Company could be expected to sell some previous
assets in order to reinvest the sale proceeds in almost similar investments for
which expected cash flows are anticipated to be less uncertain or higher than
the ones that were expected from the sold assets.
* "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)
*****
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
nearly ?525 billion in assets under management as of the end of June 2010. AXA
IM employs approximately 2,521 people around the world and operates out of 21
countries.
CONTACTS
Company Secretary
State Street (Guernsey) Limited
volta.finance(at)mourant.com
+44 (0) 1481 715601
Portfolio Administrator
Deutsche Bank
voltaadmin(at)list.db.com
For the Investment Manager
AXA Investment Managers Paris
Serge Demay
serge.demay(at)axa-im.com
+33 (0) 1 44 45 84 47
*****
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.
*****
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.
*****
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.
*****
[HUG#1454155]
September Monthly Report:
http://hugin.info/137695/R/1454155/394472.pdf
This announcement is distributed by Thomson Reuters on behalf of
Thomson Reuters clients. The owner of this announcement warrants that:
(i) the releases contained herein are protected by copyright and
other applicable laws; and
(ii) they are solely responsible for the content, accuracy and
originality of the information contained therein.
Source: Volta Finance Limited via Thomson Reuters ONE
Unternehmensinformation / Kurzprofil:
Datum: 21.10.2010 - 17:28 Uhr
Sprache: Deutsch
News-ID 46028
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