VOLTA FINANCE - NOVEMBER INTERIM MANAGEMENT STATEMENT
(Thomson Reuters ONE) -
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO
THE UNITED STATES
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Guernsey, 23 November 2010 - Volta Finance Limited (the "Company" or "Volta
Finance" or "Volta") has published its Interim Management Statement. The full
report is attached to this release and is available on Volta Finance Limited's
financial website (www.voltafinance.com).
Dear Shareholders and Investors,
Over the quarter, from the end of July 2010 to the end of October 2010, the
Gross Asset Value (the "GAV") of Volta went from ?99.3m or ?3.27 per share, to
?115.5m or ?3.81 per share.
During the same period, the Company invested ?13.8m in 13 different assets and
sold three assets for ?7.0m. As a consequence, and taking into account a
negative impact of ?5.3m due to the USD depreciation, the principal amount of
the asset base increased by the equivalent of ?6.2m from ?183.8m at the end of
July 2010 to ?190m at the end of October 2010.
+-----------------------------------------------+
| End of period nominal amounts |
| |
| July 2009 January 2010 July 2010 October 2010|
+------------------------------+-----------------------------------------------+
| First loss tranches of|25,3 25,3 25,4 26,3 |
| Corporate Credit | |
| | |
| Mezzanine tranches of|0,0 14,7 15,6 14,7 |
| Corporate Credit | |
| | |
| First loss tranches of|37,4 46,1 51,8 44,4 |
| CDOs | |
| | |
| Mezzanine debt tranches of|31,1 61,2 77,0 91,7 |
| CDOs | |
| | |
| ABS (including near cash|13,3 15,7 14,0 13,0 |
| ABS asset) | |
| | |
| cash |27,7 4,2 5,5 4,8 |
+------------------------------+-----------------------------------------------+
| Total Nominal (excluding|107,0 162,9 183,8 190,0 |
| cash) | |
+------------------------------+-----------------------------------------------+
| Include change due to USD|na 1,5 5,9 -5,4 |
| variations | |
+------------------------------+-----------------------------------------------+
This table takes into account losses of nominal amounts that could not be
recouped for Corporate Credit and ABS; residual tranches of CLOs are accounted
for by their remaining principal amount (78% of principal on average Volta's
residual positions at the end of October 2010) and USD nominal amounts being
translated in euro using end of period cross rate.
During the quarter, cash flows generated by the Company's assets, excluding
asset sales and ?2.1m of principal payments from short term ABS, amounted to
?6.0m (non euro amounts being translated in euro using end of month currency
rate). This amount could be compared to ?5.3m for the most recent comparable 3-
month period in 2010 (from the end of January 2010 to the end of April 2010).
The cash generated by the assets, during the quarter under review, is rather
significant, slightly above an annual rate of 26% of Volta's asset valuation
excluding cash at the beginning of the period (?93.8m).
As a consequence of the investments and sales made during the period and after
taking into account the settlement of some expenses and the settlement of one
end-of-period investment, the cash position in the Company's accounts went from
?5.8m at the end of July 2010 to ?4.8m at the end of October 2010. This amount
included ?0.7m posted for margin calls linked to the currency hedge strategy of
the Company. Since the end of October 2010 as a result of some further coupon
payments and one investment, the cash position in the Company has decreased to
?3.8m at the time of writing this statement.
The increase of the GAV during the quarter is mainly due to increases in the
price of structured credit products as well as to the generation of cash flows
from the underlying assets.
MARKET ENVIRONMENT AND LATEST DEVELOPMENTS
Over the quarter, the economic stabilization continued to sustain the
performance of credit assets despite raising concerns regarding the financing of
some government debts (Republic of Greece and Ireland amongst others).
Governments and central banks demonstrated again their ability to bring some
support to the current economic and financial situation and it contributed to
the stabilization of financial markets over the period. From the end of July
2010 to the end of October 2010, the 5y European iTraxx index (series 13) and
the 5y iTraxx European Crossover index (series 13) tightened significantly from
respectively 105 and 479 bps to respectively 92 and 397 bps and the CSFB
Leverage Loan Index, the average price for US liquid first lien loans, increased
from 90.09% to 92.44%.**
VOLTA FINANCE PORTFOLIO
Corporate Credit
Over the quarter, no event of default 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. The average price of these positions went from 28.1% of par to
34.6% from end of July 2010 to end of October 2010.
At the end of the period, 42% of this bucket is made of two junior-AAA and one A
tranche of Corporate Credit portfolios bought in 2009 that benefited from a
significant level of subordination contrary to the first loss positions. The
average price of the debt tranches of Corporate Credit positions went from
53.1% at the end of July 2010 to 60.5% at the end of October 2010.
The Corporate Credit holdings that were all together valued at ?18.1m at the end
of July 2010 generated the equivalent of ?2.6m of cash flows during the quarter
(between end of July 2010 to end of October 2010) and are valued for ?21.2m at
the end of October 2010 (including a purchase for ?0.350m during the quarter).
CDO
This bucket that accounted, at the end of October 2010 for 70% of the GAV, is
composed of residual and mezzanine debt tranches of CLOs. During the quarter,
defaults and downgrades in the underlying loan portfolios continued to occur,
albeit at a slower pace than in the near previous quarters. On average
overcollateralisation tests and residual payments of these structures improved
during this quarter relative to the previous one.
At the end of October 2010, amongst the 12 residual CLO positions, two of them
(Carlyle IX and Northwoods Capital) continued to suffer a diversion of their
residual payment. The residual positions, that were valued at ?30.4m at the end
of July, have generated the equivalent of ?2.2m during the quarter and have seen
their valuation increasing to ?29.6m at the end of October 2010 (despite the
sale of one asset for ?2.6m and the purchase of one asset for ?0.4m). The
average price of the 11 classic residual CLO positions (accounting for ?19.7m
and excluding one investment that is very specific considering its low level of
leverage) was 44.5% at the end of October 2010 (38.2% at the end of July 2010
for the 10 existing classic residual positions at this time).
As regards the 39 mezzanine debt tranches held by Volta, which represent 44.6%
of the end of October 2010 GAV, one of them continued to suffer a diversion of
its coupon payments (Alpstar 2A E) but for all of them a full payment of coupons
and principal is expected to be met under an average scenario for defaults and
rating migrations.
The positions in mezzanine debt of CLOs that were valued at ?38.4m at the end of
July, have generated the equivalent of ?0.9m of cash flows during the quarter
and are valued at ?51.9m at the end of October (including 11 assets purchased
for ?13.1m and 2 assets sold for ?4.4 m)). The average price of the mezzanine
debt tranches of CLO positions was 56.6% at the end of October 2010 (49.8% at
the end of July for the 30 existing positions at this time).
ABS
Promise Mobility, a residual position on a very largely diversified portfolio of
small and medium German companies was representing, at the end of October
2010, 67% of this asset class. Despite two monthly reports on this deal during
the quarter demonstrating an increase in the accumulated losses, it continued to
perform in line or above initial expectations. However, the difficult situation
of the German economy, despite a strong commitment from the German government to
limit the contamination of the German "Mittelstand" from the global economic
crisis could, at some point in time, have an effect on the cash flows expected
from this investment.
This asset, which was valued at ?5.7m at the end of July 2010, has generated
?0.4m of cash flows during the quarter and is valued at ?5.8m at the end of
October 2010.
The remaining portion of this asset class was made, at the end of October 2010,
of two investments (for ?2.9m) in short-term European ABS that have been
purchased to improve the return on its cash position and by 6 positions in
residuals of UK non-conforming residual loans ABS. These six positions were
valued for almost zero at the end of April 2010 in line with the very poor cash
flows that could be expected from these assets.
Since the end of October 2010 and at the date of publishing this statement, the
Company's assets have continued to generate cash flows and the Company has
continued investing: the equivalent ?0.9m of cash flows have been received from
existing assets and the equivalent of ?1.4m have been engaged in recent
purchases (one mezzanine debt of CLOs).
At the time of publishing this statement, considering the necessity to maintain
some cash for margin calls that could arise from time to time from the hedging
of the currency risk and the next dividend payment, the Company could be
considered as fully invested.
Unless stated otherwise, the figures in this Interim Management Statement are as
at end of October 2010 as valuations are available only on a monthly basis with
some delays. Between 29 October 2010 and 23 November 2010, the date of
publication of this Interim Management Statement, the Company is unaware about
any significant event, materially affecting the Company's financial position or
the Company's controlled undertaking.
** Index data source: Markit, Bloomberg.
(Full Interim Management Statement attachment on www.voltafinance.com)
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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
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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.
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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.
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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.
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[HUG#1464966]
November Interim Management Statement:
http://hugin.info/137695/R/1464966/403349.pdf
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originality of the information contained therein.
Source: Volta Finance Limited via Thomson Reuters ONE
Unternehmensinformation / Kurzprofil:
Datum: 23.11.2010 - 18:28 Uhr
Sprache: Deutsch
News-ID 49046
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contact information:
Town:
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Kategorie:
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