VOLTA FINANCE - JULY MONTHLY REPORT
(Thomson Reuters ONE) - NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, INOR INTO THE UNITED STATES*****Guernsey, 17 August 2009 - Volta Finance Limited (the "Company" or"Volta Finance" or "Volta") has published its July monthly report.The full report is attached to this release and is available on VoltaFinance Limited's financial website (www.voltafinance.com).Gross Asset Value+---------------------------------------------------------+| | At 31.07.09 | At 30.06.09 ||-----------------------------+-------------+-------------|| Gross Asset Value (GAV / ?) | 59,291,371 | 56,239,370 ||-----------------------------+-------------+-------------|| GAV per share (?) | 1.96 | 1.86 |+---------------------------------------------------------+As of the end of July 2009, the Gross Asset Value (the "GAV") ofVolta Finance Limited (the "Company", "Volta Finance" or "Volta") was?59.3m or ?1.96 per share, an increase of ?0.10 per share from ?1.86per share as of the end of June 2009,The June mark-to-market variations* of Volta Finance's asset classeshave been: -0.1% for ABS investments, +16.1% for CDO investments and+10.5% for Corporate Credit investments. The increase in the GAV ismostly due to increases in prices in the CDO and in the CorporateCredit buckets.Volta's assets have generated the equivalent of ?1.3m of cash flowsduring July 2009 (non-Euro amounts converted into Euro usingend-of-month cross currency rates), bringing the total cash generatedfor the current semi-annual period that began on 1st February 2009 to?8.8m, compared with ?20.3m for the same 6-month period in 2008.MARKET ENVIRONMENTIn July, most of credit markets have performed in line with thepursuit of the recovery in economic sentiments and with some good orat least some less negative economic news appearing, particularlyrelative to industrial production and unemployment. Consumption indeveloped countries is still weak and this is likely to remain a dragon economic recovery for the foreseeable future.The 5y European iTraxx index (series 11) as well as the 5y iTraxxEuropean Crossover Index (series 11) tightened respectively from 112bps to 88 bps and from 713 bps to 612 bps from the end of June to theend of July 2009. During the same period of time, according to theCSFB Leverage Loan Index, the average price for US liquid first lienloans increased for the sixth consecutive month, from 76.47% to80.27%.**VOLTA FINANCE PORTFOLIOAs regards the Company's Corporate Credit holdings, in the lastmonthly report, it was expected that Jazz III should suffer thedefault of CIT Group Inc (the exposure to CIT Group Inc is 0.65% ofthe underlying portfolios). At the time of writing this report, CIThas already been able to finalize a secured loan facility followed byan agreement about a "Tax benefits preservation plan" with the FEDannounced on August 13, which altogether should delay and lower therisk of bankruptcy.The other Corporate Credit asset, ARIA III, representing 14.2% of theend of June GAV, is not exposed to CIT Group and its ability to paycash flows in the future hasn't significantly changed since the lastinterim report. However, being like Jazz III a first loss position,it remains sensitive to any credit event that could occur.As regard the Company's residual and mezzanine debt of CLOsexposures, defaults and downgrades in underlying portfolios continuedto occur but the prices of loans, especially the lower-rated ones,tended to increase a bit further on average, consequently the numberof residual tranches suffering at least a partial diversion of cashflows remains stable.As regards the 10 mezzanine debt tranches held by Volta, representing9.9% of the end of month GAV, it should be noticed that one position,the ?3m nominal position in the Class E debt of Alpstar 2.representing 0.1% of the end of month GAV, suffered a significantdeterioration of its over-collateralization tests due to theoccurrence of defaults in recent months. In May it triggered aprincipal payment of 5.75% on the tranche held by Volta but lossesthat have occurred since this payment are expected to lead to apartial or full diversion of cash flow due to Volta's position at thenext payment date. This position could suffer, if defaults continueto occur in its underlying loans portfolio at a significant pace, aprolonged diversion of its coupon payment in the coming quarters.Since this asset represented 0.1% of Volta's end of July GAV, afurther deterioration of its situation shouldn't have a significantimpact on Volta's GAV. The Company will reassess, as of the end ofJuly, the expected cash flows for all of its positions and expectthat it may probably lead to impair its Alpstar 2 position. Theresult of this reassessment will be disclosed in the annual report ofthe Company to be published towards the end of October.The depressed economic environment and the ongoing wave of downgradesand defaults are expected to continue having a negative impact on theexpected cash flows of most of the Company's CLO residual and debtholdings, even if the rebound in loan prices allowed some CLOmanagers to clean up some positions and to improve their OC tests.As regards the Company's ABS investments, no particular event hasaffected the six UK non-conforming residual holdings or PromiseMobility, a residual position in a very diversified portfolio ofsmall and medium German companies, representing 12.9% of the GAV asof the end of July.At the end of July, the Company held the equivalent of ?27.7m of cash(?0.92 per share). Most of the cash held by the Company will be usedfor investing as well as paying operating expenses and dividends.The Company is considering that opportunities could arise in currentmarket environment in several structured credit sectors. Mezzaninetranches of CLO and of European ABS or senior tranches of CorporateCredit portfolio could be considered as the main area for suchinvestments. Investments will be realised depending on the pace atwhich market opportunities could be seized.* "Mark-to-market variation" is calculated as the Dietz-performanceof the assets in each bucket, taking into account the MtM of theassets at month-end, payments received from the assets over theperiod, and ignoring changes in cross currency rates Nevertheless,some residual currency effects could impact the aggregate value ofthe portfolio when aggregating each bucket.** Index data source: Markit, Bloomberg(Full monthly report in attachment or on www.voltafinance.com)*****ABOUT VOLTA FINANCE LIMITEDVolta Finance Limited is incorporated in Guernsey under the Companies(Guernsey) Laws, 1994 to 1996 (as amended) and listed on EuronextAmsterdam. Its investment objectives are to preserve capital and toprovide a stable stream of income to its shareholders throughdividends. For this purpose, it pursues a multi-asset investmentstrategy targeting various underlying assets. Volta Finance's basicapproach to its underlying assets is through vehicles andarrangements that provide leveraged exposure. The exposure to thoseunderlying assets is gained through direct and indirect investment infive principal asset classes: corporate credits, CDOs, ABS, leveragedloans, and infrastructure assets.Volta Finance has appointed AXA Investment Managers Paris, aninvestment management company with a division specialised instructured credit, for the investment management of all its assets.ABOUT AXA INVESTMENT MANAGERSAXA Investment Managers (AXA IM) is a multi-expert asset managementcompany within the AXA Group, a global leader in financial protectionand wealth management. AXA IM is one of the largest European-basedasset managers with ?485 billion in assets under management as of theend of December 2008. AXA IM employs approximately 2,900 peoplearound the world and operates out of 21 countries.CONTACTSCompany SecretaryMourant Guernsey Limitedvolta.finance(at)mourant.com+44 (0) 1481 715601Portfolio AdministratorDeutsche Bankvoltaadmin(at)list.db.comFor the Investment ManagerAXA Investment Managers ParisSerge Demayserge.demay(at)axa-im.com+33 (0) 1 44 45 84 47*****This press release is for information only and does not constitute aninvitation or inducement to acquire shares in Volta Finance. Itscirculation may be prohibited in certain jurisdictions and norecipient may circulate copies of this document in breach of suchlimitations or restrictions.This press release is not an offer of securities for sale in theUnited States. Securities may not be offered or sold in the UnitedStates absent registration with the United States Securities andExchange Commission or an exemption from registration under the U.S.Securities Act of 1933, as amended (the "Securities Act"). VoltaFinance has not registered, and does not intend to register, anyportion of any offering of its securities in the United States or toconduct a public offering of any securities in the United States.*****This document is being distributed by Volta Finance Limited in theUnited Kingdom only to investment professionals falling withinarticle 19(5) of the Financial Services and Market Act 2000(Financial Promotion) Order 2005 (the "Order") or high net worthcompanies and other persons to whom it may lawfully be communicated,falling within article 49(2)(A) to (E) of the Order ("Relevantpersons"). The shares are only available to, and any invitation,offer or agreement to subscribe, purchase or otherwise acquire theshares will be engaged only with, relevant persons. Any person who isnot a relevant person should not act or rely on this document or anyof its contents. Past performance cannot be relied on as a guide tofuture performance.*****This press release contains statements that are, or may deemed to be,"forward-looking statements". These forward-looking statements can beidentified by the use of forward-looking terminology, including theterms "believes", "anticipated", "expects", "intends", "is/areexpected", "may", "will" or "should". They include the statementsregarding the level of the dividend, the current market context andits impact on the long-term return of Volta's investments. By theirnature, forward-looking statements involve risks and uncertaintiesand readers are cautioned that any such forward-looking statementsare not guarantees of future performance. Volta Finance's actualresults, portfolio composition and performance may differ materiallyfrom the impression created by the forward-looking statements. VoltaFinance does not undertake any obligation to publicly update orrevise forward-looking statements.Any target information is based on certain assumptions as to futureevents which may not prove to be realised. Due to the uncertaintysurrounding these future events, the targets are not intended to beand should not be regarded as profits or earnings or any other typeof forecasts. There can be no assurance that any of these targetswill be achieved. In addition, no assurance can be given that theinvestment objective will be achieved.*****http://hugin.info/137695/R/1335239/317274.pdfThis announcement was originally distributed by Hugin. The issuer is solely responsible for the content of this announcement.
Datum: 17.08.2009 - 12:44 Uhr
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