VOLTA FINANCE - JULY MONTHLY REPORT
(Thomson Reuters ONE) -
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO
THE UNITED STATES
*****
Guernsey, 19 August 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 29.07.11 | At 30.06.11 |
+-----------------------------+-------------+-------------+
| Gross Asset Value (GAV / ?) | 145,261,103 | 146,544,185 |
+-----------------------------+-------------+-------------+
| GAV per share (?) | 4.72 | 4.76 |
+-----------------------------+-------------+-------------+
At the end of July 2011, the Gross Asset Value (the "GAV") of Volta Finance
Limited (the "Company", "Volta Finance" or "Volta") was ?145.3m or ?4.72 per
share, a decrease of ?0.04 per share from ?4.76 GAV per share at the end of June
2011.
The July mark-to-market variations* of Volta Finance's asset classes have been:
+3.3% for ABS investments, -1.2% for mezzanine of CDO investments, +0.7% for
residuals of CDO investments and -5.5% for Corporate Credit investments. The
decrease of the GAV in July reflected the overall widening of credit spreads in
conjunction with the prolongation of the European sovereign debt crisis and the
overall downward revision of growth in developed economies. This lower mark has
been partially offset by ongoing received cash flows.
Volta's assets generated the equivalent of ?1.6m of cash flows in July 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 ?10.3m for the previous six-month period ended in January 2011
(the most recent period which is comparable considering the seasonality of
payments).
In July, the Company engaged ?5m in one deal (Bank Capital Opportunity Fund, a
fund managed by AXA IM Paris that invests in regulatory capital deals with
banks) for which the settlement is expected to occur in the early days of
September and has received ?5.6m of principal from a mezzanine debt tranche of
CLO that has been called (Puma E Tranche).
At the end of July, Volta held ?8.1m in cash excluding ?1m received from margin
calls in respect of its currency hedge positions. Considering the pace at which
cash flows are generated and the commitment already made Volta could be
considered as having nearly ?2m available for further investments.
MARKET ENVIRONMENT
In July, credit spreads continued to widen in Europe and in the US. It reflected
the situation of the European sovereign debt crisis as well as the uncertainties
relative to the pace of growth for developed economies. The spread of the 5y
European iTraxx index and of the 5y iTraxx European Crossover Index (series 15)
widened, respectively, from 106 and 394 bps at the end of June to 117 and 438
bps at the end of July. During the same period, credit spreads in the US, as
illustrated by the 5y CDX main index (series 16), went from 93 to 96 bps at the
end of July 2011. According to the CSFB Leverage Loan Index, the average price
for US liquid first lien loans decreased from 95.07% to 94.89%.**
Overall, the tensions that had appeared since March affected structured finance
markets in June and July. On average, prices are back to end of April/end of
March levels and the increase in primary and secondary activity that had
persisted for several quarters was notably reduced.
VOLTA FINANCE PORTFOLIO
In July, 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 triggering of the Greece's Government debt CDS. The
European crisis summit held in July seems to have resulted, from the time being,
in a postponement in the triggering of the Greek CDS. However, under reasonable
assumptions the cost of such triggering can be estimated to approximately 2% of
Volta's GAV. At the end of July, 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% to
45.2%.
As regards the Company's investments in residual and mezzanine debt of CDOs, at
the end of July, from a total of 51 positions in residual or mezzanine debt of
CDOs, only one residual position (Carlyle IX) is still unable to pay its coupon
due to an over collateralisation test breach. The 50 other positions are
currently paying. No particular event materially affected the situation of these
positions. As expected one position that was unable to pay for 2 years
(Northwoods VIII) resumed paying a coupon in the early days of August.
At the end of July the 38 mezzanine debt tranches of CDOs (36 tranches of CLOs,
1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), totalling the
equivalent of ?95.3m of principal amount, were valued at an average price of
69.5% of par; the 12 classic residual tranches of CLOs, totalling the equivalent
of ?49.8m of principal amount, were valued at an average price of 65.2%; 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 July, the Company
conducted its semi-annual review of assumptions for its assets and has decided
to impair Promise Mobility taking into consideration both the recent reports on
this deal and the economic situation in Europe, It will be reflected in the
31(st) July 2011 annual report and accounts. It should be noted that Volta
already has received 62.4% of the amount invested in this position, since 2007,
and this position is currently priced at 50.1% of remaining principal (which is
80% of the original principal),reflecting most of the uncertainties that
currently exist on this deal.
With regards to the Company's UK non-conforming positions, nothing special
affected these assets in July.
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. Potential investments could be
made depending on the pace at which market opportunities could be seized and
cash is available. The recent widening of discount margins can be expected to be
seized by the Company to invest most of the cash 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.
The Investment Manager of the Company's asset decided in July to merge the two
teams in charge of managing underlying corporate credit portfolios of structured
credit vehicles or unlevered vehicles managed by AXA Structured Finance
division. The Leverage Finance team managing high yield portfolios and the
Structured Corporate Credit team managing predominantly investment grade
exposures merged in order to leverage on a common set of standards for corporate
credit research and to increase the ability to seize opportunities that should
come from changes in banking regulation. This team is, amongst other things, in
charge of managing the underlying credit portfolios of Jazz III, ARIA III,
Adagio II and Adagio III; four deals in which Volta held some positions. The two
co-heads of this new team remain members of the Volta Investment Committee
within AXA Structured Finance division, which determines the investment process
and asset allocation amongst the various asset classes. The Volta investment
committee is comprised of the head and deputy head of AXA Structured Finance
division, the heads of specialised investment teams and the manager more
particularly in charge of Volta Finance's portfolio, Serge Demay, who is a
member of the SCI team (Structured Credit Investment team in charge of investing
in structured credit vehicles generally managed by third parties).
* "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 ?514
billion in assets under management as of the end of June 2011. AXA IM employs
approximately 2,389 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.
*****
July Monthly Report:
http://hugin.info/137695/R/1539943/470705.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#1539943]
Unternehmensinformation / Kurzprofil:
Datum: 19.08.2011 - 19:19 Uhr
Sprache: Deutsch
News-ID 57495
Anzahl Zeichen: 16195
contact information:
Town:
Guernsey
Kategorie:
Business News
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