VOLTA FINANCE - MAY MONTHLY REPORT
(Thomson Reuters ONE) -
Guernsey, 17 June 2011 - 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 31.05.11 | At 29.04.11 |
+-----------------------------+-------------+-------------+
| Gross Asset Value (GAV / ?) | 152,827,868 | 143,302,466 |
+-----------------------------+-------------+-------------+
| GAV per share (?) | 4.96 | 4.65 |
+-----------------------------+-------------+-------------+
At the end of May 2011, the Gross Asset Value (the "GAV") of Volta Finance
Limited (the "Company", "Volta Finance" or "Volta") was ?152.8m or ?4.96 per
share, an increase of ?0.31 per share from ?4.65 post dividend GAV per share at
the end of April 2011.
The May mark-to-market variations* of Volta Finance's asset classes have been:
+2.8% for ABS investments, +0.2% for mezzanine of CDO investments, +8.2% for
residuals of CDO investments and +3.7% for Corporate Credit investments. The
increase of the GAV in May reflected the general decrease in discount margins
for structured finance assets that occurred after the March tensions as well as
the good performance of Volta's assets in terms of ongoing payments.
Volta's assets have generated the equivalent of ?2.2m of cash flows in May 2011
(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 ?11.9m. This amount can be compared with
the amount of ?9.7m for the previous six-month period ended in November 2010
(the most recent period which is comparable considering the seasonality of
payments).
In May, the Company bought 3 assets for the equivalent of ?6.5m (Sierra 2006-2 -
B2L, Pangaea 2007-1 - A, SkelligRock 2006-1 - C) and sold two USD tranches of
CLOs for the equivalent of ?1.8m (these two assets were valued for ?1.5m as of
the end of April)
At the end of May, Volta held ?2.3m in cash excluding ?0.3m received from margin
calls in respect to its currency hedge positions and ?2m committed for the
settlement of the most recent purchase. Considering the pace at which cash flows
are generated Volta has close to ?1m available for investment at the end of May.
MARKET ENVIRONMENT
In May, credit spreads widened modestly in Europe and in the US. It reflected an
increasing concern on the sustainability of G8 economic growth in a context of
debt constraints. The spread of the 5y European iTraxx index and of the 5y
iTraxx European Crossover Index (series 15) went, respectively, from 97 and 353
bps at the end of April to 103 and 370 bps at the end of May. During the same
period, credit spreads in the US, as illustrated by the 5y CDX main index
(series 16), went from 88 to 90 bps at the end of May 2011. According to the
CSFB Leverage Loan Index, the average price for US liquid first lien loans
modestly decreased from 95.92% to 95.63%.**
Overall, the tensions that appeared since March did not affect structured
finance markets. After a small decrease in prices and in the number of
transactions in March, structured finance markets returned to end of February
levels or even higher. It confirms the renewed appetite from large institutional
investors for this asset class for several quarters now.
VOLTA FINANCE PORTFOLIO
In May, 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. At the end of May, 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 48.9% to 50.9%.
As regards the Company's investments in residual and mezzanine debt of CDOs, at
the end of May, from a total of 52 positions in residual or mezzanine debt of
CDOs, two of the residual positions (Carlyle IX and Northwoods VIII) are still
unable to pay their coupon due to over collateralisation test breaches. The 50
other positions are currently paying. As previously announced, the latest debt
tranche that was unable to pay at the end of April, the E tranche of Alpstar 2,
paid in May all its delayed amounts and a portion of its capital thanks to a
capital protection mechanism in place inside this CLO.
At the end of May the 39 mezzanine debt tranches of CDOs (37 tranches of CLOs,
1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), totalling the
equivalent of ?97.7m of principal amount, were valued at an average price of
75% of par; the 12 classic residual tranches of CLOs, totalling the equivalent
of ?49.9m of principal amount, were valued at an average price of 62.2%; the
rest of the bucket, one loan fund, for the equivalent of ?11m of principal
amount, was valued at 92% of par.
As regards the Company's ABS investments, in May, no particular event materially
affected the six UK non-conforming residual holdings held by Volta. The latest
report from Promise Mobility 2006-1 showed an increase in the number of credits
that entered in work out process after several months during which the number of
such negative transitions was below trend. It is yet too early to consider the
impact of such news to the overall position. The company has no more investment
in short-term euro ABS senior tranches.
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 could be
made depending on the pace at which market opportunities could be seized and
cash is available. Thanks to the rally in prices that occurred in the previous
months, the Company may be in a position to sell some assets at yields below
Volta's target in order to reinvest the sale proceeds depending on market
opportunities.
* "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 ?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
*****
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.
*****
May Monthly Report:
http://hugin.info/137695/R/1524348/460186.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#1524348]
Unternehmensinformation / Kurzprofil:
Datum: 17.06.2011 - 16:02 Uhr
Sprache: Deutsch
News-ID 55655
Anzahl Zeichen: 13637
contact information:
Town:
Guernsey
Kategorie:
Business News
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