VOLTA FINANCE - INTERIM MANAGEMENT STATEMENT MAY 2011
(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, 24 May 2011 - 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 January 2011 to the end of April 2011, the
Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company" or "Volta
Finance" or "Volta") went from ?140.6m or ?4.57 per share, to ?143.3m or ?4.65
per share. During this period, the Company paid a dividend of ?0.22 per share
(?6.8m).
During the same period, the Company invested ?6.8m in four different assets
(three euro tranches and one USD tranche of CLO) and sold six assets for ?9.1m.
During the quarter, cash flows generated by the Company's assets, excluding
asset sales and ?0.2m of principal payments from short term ABS, amounted to
?7.1m (non euro amounts being translated in euro using end of month currency
rate). This amount could be compared to ?6.3m for the most recent comparable 3-
month period in 2010 (from the end of July 2010 to the end of October 2010). The
cash generated by the assets, during the quarter under review, is rather
significant, close to an annual rate of 21% of Volta's asset valuation excluding
cash at the beginning of the period (?138.9m).
As a consequence of the investments and sales made during this period and after
taking into account the settlement of some expenses and the dividend payment,
the cash position in the Company's accounts went from ?1.7m at the end of
January 2011 to ?3.1m at the end of April 2011. This amount excluded ?1.1m
received for margin calls linked to the currency hedge strategy of the Company.
Since the end of April 2011 as a result of some further coupon payments and two
investments, the cash position in the Company has decreased to ?2.4m 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, Ireland and Portugal 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 January
2011 to the end of April 2011, the 5y European iTraxx index (series 14) and the
5y iTraxx European Crossover index (series 14) tightened significantly from
respectively 98 and 415 bps to respectively 90 and 354 bps and the CSFB Leverage
Loan Index, the average price for US liquid first lien loans, modestly increased
from 95.64% to 95.92%.*
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. Considering current market focus, it should be reminded that
the first-loss positions in Jazz III and ARIA III are exposed, through CDS, to
Republic of Greece for the same percentage (0.5%) of their underlying portfolio.
Such position if it were to trigger an event of default could generate some
direct losses on both positions. Considering an hypothetical recovery of 70%,
that circulates amongst market participants when a Greece debt restructuring is
evocated, such potential default could represent an immediate direct loss of
less than 2% of Volta's current GAV. Over the quarter, despite a deepening of
the euro sovereign crisis, the average price of these two first loss positions
went from 35.5% of par to 38.2%.
At the end of the period, 43.5% 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
70.1% at the end of January 2011 to 76.4% at the end of April 2011.
The Corporate Credit holdings that were all together valued at ?23.2m at the end
of January 2011 generated the equivalent of ?2.5m of cash flows during the
quarter (between end of January 2011 to end of April 2011) and was valued for
?24.3m at the end of April 2011.
CDO
This bucket that accounted, at the end of April 2011 for 76.5% 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 over-
collateralization tests and residual payments of these structures improved
during this quarter relative to the previous one.
At the end of April 2011, amongst the 13 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 ?39.9m at the end
of January 2011, have generated the equivalent of ?3m during the quarter and
have seen their valuation increasing to ?40.7m at the end of April 2011. The
average price of the 12 classic residual CLO positions (accounting for ?31.3m
and excluding one investment that is very specific considering its low level of
leverage) was 64.4% at the end of April 2011 against 57.1% at the end of January
2011.
As regards the 38 mezzanine debt tranches held by Volta, which represent 47.5%
of the end of April 2011 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. Since the end of April, in line with what has been announced
through recent monthly reports, Alpstar 2A E resumed paying its current coupon
and paid its delayed coupons.
The positions in mezzanine debt of CLOs that were valued at ?67.5m at the end of
January 2011, have generated the equivalent of ?0.9m of cash flows during the
quarter and are still valued at ?67.5m at the end of April (including 4 assets
purchased for ?6.8m and 5 assets sold for ?7.5m during the period). The average
price of the mezzanine debt tranches of CLO positions was 74.4% at the end of
April 2011 (71.6% at the end of January for the 39 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 April
2011, 98% of this asset class. In line with what was expected, the latest
monthly reports on this deal during the quarter demonstrated a significant
reduction in accumulated losses generated at the underlying loans portfolio
level. Considering that, this asset continued to perform roughly in line with
initial expectations despite some acceleration in losses in Q3 2010. 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 ?6.2m at the end of January 2011, has generated
?0.3m of cash flows during the quarter and is valued at ?6.1m at the end of
April 2011.
The remaining portion of this asset class was made, at the end of April 2011, by
6 positions in residuals of UK non-conforming residual loans ABS. These six
positions were valued for ?0.1m at the end of April 2011 in line with the very
poor cash flows that could be expected from these assets.
Since the end of April 2011 and at the date of publishing this statement, the
Company's assets have continued to generate cash flows and the Company has
continued managing the portfolio : the equivalent of ?2.4m of cash flows have
been received from existing assets, the equivalent of ?3.6m have been spent in
recent purchases (two mezzanine debt of CLOs) and two other mezzanine debt of
CLOs valued for the equivalent of ?1.5m at the end of April have been sold in
May for the equivalent of ?1.8m.
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 ongoing cash flows that are expected, the Company
could be considered as having close to ?3m available for investment.
Unless stated otherwise, the figures in this Interim Management Statement are as
at end of April 2011 as valuations are available only on a monthly basis with
some delays. Between 29 April 2011 and 24 May 2011, 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)
*****
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 ?516
billion in assets under management as of the end of December 2010. AXA IM
employs approximately 2,438 people around the world and operates out of 21
countries.
CONTACTS
Company Secretary
State Street (Guernsey) Limited
volta.finance(at)ais.statestreet.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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Interim Management Statement May 2011:
http://hugin.info/137695/R/1518480/454961.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
[HUG#1518480]
Unternehmensinformation / Kurzprofil:
Datum: 24.05.2011 - 19:15 Uhr
Sprache: Deutsch
News-ID 54953
Anzahl Zeichen: 16780
contact information:
Town:
Guernsey
Kategorie:
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