VOLTA FINANCE - JUNE MONTHLY REPORT
(Thomson Reuters ONE) -
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO
THE UNITED STATES
*****
Guernsey, 20 July 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 30.06.11 | At 31.05.11 |
+-----------------------------+-------------+-------------+
| Gross Asset Value (GAV / ?) | 146,544,185 | 152,827,868 |
+-----------------------------+-------------+-------------+
| GAV per share (?) | 4.76 | 4.96 |
+-----------------------------+-------------+-------------+
At the end of June 2011, the Gross Asset Value (the "GAV") of Volta Finance
Limited (the "Company", "Volta Finance" or "Volta") was ?146.5m or ?4.76 per
share, a decrease of ?0.20 per share from ?4.96 GAV per share at the end of May
2011.
The June mark-to-market variations* of Volta Finance's asset classes have been:
-12.5% for ABS investments, -2.4% for mezzanine of CDO investments, -1.7% for
residuals of CDO investments and -5.9% for Corporate Credit investments. The
decrease of the GAV in June reflected the overall widening of credit spreads in
conjunction with the deepening of the European sovereign debt crisis as well as
the decrease in value for one position held in a German Small and Medium
Enterprise loans deal (Promise Mobility).
Volta's assets generated the equivalent of ?0.9m of cash flows in June 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 ?11.8m. This amount can be compared with
the amount of ?10.2m for the previous six-month period ended in December 2010
(the most recent period which is comparable considering the seasonality of
payments).
In June, the Company bought 2 USD mezzanine debt tranches of CLOs for the
equivalent of ?2.7m (Battalion 20007-1 - E, MDPK 2007-6 - E). No asset was sold.
At the end of June, Volta held ?1m in cash excluding ?0.8m received from margin
calls in respect of its currency hedge positions. Considering the pace at which
cash flows are generated Volta could be considered as fully invested at the end
of June.
MARKET ENVIRONMENT
In June, credit spreads continued to widen in Europe and in the US. It reflected
the deepening of the European sovereign debt crisis as well as the uncertainties
relative to the pace of growth for G8 economies. The spread of the 5y European
iTraxx index and of the 5y iTraxx European Crossover Index (series 15) widened,
respectively, from 103 and 373 bps at the end of May to 106 and 394 bps at the
end of June. During the same period, credit spreads in the US, as illustrated by
the 5y CDX main index (series 16), went from 90 to 93 bps at the end of June
2011. According to the CSFB Leverage Loan Index, the average price for US liquid
first lien loans decreased from 95.63% to 95.07%.**
Overall, the tensions that had appeared since March started to affect structured
finance markets in June. On average, prices are back to end of April levels and
there was a reversal in the increase in activity that had persisted for several
quarters.
VOLTA FINANCE PORTFOLIO
In June, 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. As already disclosed in the May 2011 Interim Management Statement of the
Company, two positions (ARIA III and the first loss positions in Jazz III) would
be directly affected by a default on Greece's Government debt. Under reasonable
assumptions the cost of such default should be close to 2% of Volta's GAV. At
the end of June, 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)) decreased from an average price of 50.9% to 50.0%.
As regards the Company's investments in residual and mezzanine debt of CDOs, at
the end of June, 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. No particular event materially affected
the situation of these positions.
At the end of June 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 ?100.5m of principal amount, were valued at an average price of
72.7% of par; the 12 classic residual tranches of CLOs, totalling the equivalent
of ?49.5m of principal amount, were valued at an average price of 66.6%; the
rest of the bucket, one loan fund, for the equivalent of ?11m of principal
amount, was valued at 89% of par.
As regards the Company's ABS investments, at the end of June, the price of
Promise Mobility has been adjusted to take into account the information from
Promise Mobility 2006-1 latest report showing a significant increase in the
number of credits that entered the work out process. Even though most of these
credits are secured loans (expected recovery should be high), the cumulative
credit events for this deal are now just in line with our initial 2007
expectations. Any further significant deterioration would lead the Company to
change the original assumptions used to value this asset and to impair it. The
very special situation of IKB, which manages this deal, adds further
uncertainties to the future performance of this asset which represents 3.2% of
Volta's end of June GAV. It should be noted that Volta already have received
62.4% of the amount invested in this position, in 2007, and this position is
currently priced at 48.5% of remaining principal (80% of the original principal)
reflecting most of the uncertainties that currently weigh on this deal.
With regards to the Company's UK non-conforming positions, some cashflows
resumed being paid to Volta thanks mostly to the continuing low interest rate
policy from the BoE. K£350 has been received during the last 3 months from 6
positions valued K£130 three months ago. The stringent economic environment and
negative outlook in the UK makes it hard to predict whether the latest good
trend will continue. We will continue to price these positions based on
conservative assumptions. End of June valuation of the 6 UK non-conforming
positions held by Volta was a total of K£245.
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 as well as tranches of Corporate Credit
portfolios could be considered for investments. Volta is also considering
investing in regulatory bank capital transactions through a fund that AXA IM
Paris is launching presently to seize this kind of opportunity. Potential
investments could be made depending on the pace at which market opportunities
could be seized and cash is available. The Company is also in the 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 s ource: 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.
*****
June Monthly Report:
http://hugin.info/137695/R/1532444/466630.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#1532444]
Unternehmensinformation / Kurzprofil:
Datum: 20.07.2011 - 19:15 Uhr
Sprache: Deutsch
News-ID 56574
Anzahl Zeichen: 15065
contact information:
Town:
Guernsey
Kategorie:
Business News
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