VOLTA FINANCE - SEPTEMBER MONTHLY REPORT
(Thomson Reuters ONE) - NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, INOR INTO THE UNITED STATES*****Guernsey, 21 October 2009 - Volta Finance Limited (the "Company" or"Volta Finance" or "Volta") has published its September monthlyreport. The full report is attached to this release and is availableon Volta Finance Limited's financial website (www.voltafinance.com).Gross Asset Value+---------------------------------------------------------+| | At 30.09.09 | At 31.08.09 ||-----------------------------+-------------+-------------|| Gross Asset Value (GAV / ?) | 68,735,527 | 64,385,155 ||-----------------------------+-------------+-------------|| GAV per share (?) | 2.27 | 2.13 |+---------------------------------------------------------+At the end of September 2009, the Gross Asset Value (the "GAV") ofVolta Finance Limited (the "Company", "Volta Finance" or "Volta") was?68.7m or ?2.27 per share, an increase of ?0.14 per share from ?2.13per share as of the end of August 2009.The September mark-to-market variations* of Volta Finance's assetclasses have been: +2.0% for ABS investments, +27.1% for Mezzanine ofCDO investments, +33% for Residuals of CDO investments and -7.4% forCorporate Credit investments. The increase in the GAV is mostly dueto price increases in the CDO bucket both from equity pieces andmezzanine debt tranches.Volta's assets have generated the equivalent of ?1.4m of cash flowsduring September 2009 (non-Euro amounts converted into Euro usingend-of-month cross currency rates) bringing the total cash generatedfor the current semi-annual period that begun on the 1st of August2009 to ?2m, compared with ?3.4m for the same two-month period in2008.In September the Company invested a total of ?2.7m in four deals: amezzanine tranche of a corporate credit portfolio (Valleriite), alarge residual tranche of CLO (Confluent), a mezzanine tranche of aCLO (Duane 2006) and a very senior tranche of European ABS (PermanentFinancing).MARKET ENVIRONMENTIn September, credit spreads continued to tighten after a pause inAugust. The economic data collected over the month tend to show thatthe improvement in economic sentiment recorded for several months isstarting to materialise through several economic real outputs.However, domestic consumption (excluding government spending) indeveloped countries remains weak, which is likely to remain a drag onthe economic recovery for the foreseeable future.The 5y European iTraxx index (series 11) modestly tightened from 91bps at the end of August to 85 bps at the end of September. Duringthe same period, the 5y iTraxx European Crossover Index (series 11)significantly tightened from 601 bps to 482 bps. According to theCSFB Leverage Loan Index, the average price for US liquid first lienloans increased for the eighth consecutive month, from 81.87% to84.38%.**VOLTA FINANCE PORTFOLIOAs regards the Company's Corporate Credit holdings, nothingparticular occurred during the month. The position in Jazz III paidits coupon in line with previous expectations. The two first-losspositions in Jazz III and ARIA III remain highly sensitive to anycredit event that could occur.As regards the Company's investments in residual and mezzanine debtof CLOs, defaults and downgrades in underlying portfolios continuedto occur, albeit at a slower pace than in the previous months. Thenumber of residual tranches suffering at least a partial diversion ofcash flows remains almost stable.As regards the 12 mezzanine debt tranches held by Volta, whichrepresent 15.3% of the end of month GAV, nothing material occurredduring the month.The depressed economic environment and the ongoing wave of downgradesand defaults are expected to continue having a negative impact on theexpected cash flows of most of the Company's CLO residuals and debtholdings. However, the rebound in loan prices allowed some CLOmanagers to clean up certain positions, and we started to collectevidences that, in some cases, OC tests improved. If such a situationwere to continue, some improvement could be expected on the paymentsfrom these positions despite the economic environment.As regards the Company's ABS investments, no particular event hasaffected the six UK non-conforming residual holdings. PromiseMobility, which is a residual position in a very diversifiedportfolio of small and medium German companies loans, started to showsigns of a modest deterioration of its credit performance and thedefault rate in the underlying portfolio is expected to increase.Nevertheless, taking into account the latest information collected onthis deal, the default rate should stay in line with what wasexpected at the time of purchase. Over its first two and a half yearsof existence, credit events in the underlying loan portfolio weresignificantly below such expectations.At the end of September, the Company held the equivalent of ?23.3m ofcash (?0.77 per share). Most of the cash held by the Company will beused for investing as well as paying operating expenses anddividends.The Company considers that opportunities could arise in severalstructured credit sectors in the current market environment.Mezzanine tranches of CLOs and of European ABS or senior tranches ofCorporate Credit portfolios could be considered as the main area forsuch investments. Investments will be made depending on the pace atwhich market opportunities could be seized.* "Mark-to-market variation" is calculated as the Dietz-performanceof the assets in each bucket, taking into account the MtM of theassets at month-end, payments received from the assets over theperiod, and ignoring changes in cross currency rates Nevertheless,some residual currency effects could impact the aggregate value ofthe portfolio when aggregating each bucket.** Index data source: Markit, Bloomberg(Full monthly report in attachment or on www.voltafinance.com)*****ABOUT VOLTA FINANCE LIMITEDVolta Finance Limited is incorporated in Guernsey under the Companies(Guernsey) Laws, 1994 to 1996 (as amended) and listed on EuronextAmsterdam. Its investment objectives are to preserve capital and toprovide a stable stream of income to its shareholders throughdividends. For this purpose, it pursues a multi-asset investmentstrategy targeting various underlying assets. Volta Finance's basicapproach to its underlying assets is through vehicles andarrangements that provide leveraged exposure. The exposure to thoseunderlying assets is gained through direct and indirect investment infive principal asset classes: corporate credits, CDOs, ABS, leveragedloans, and infrastructure assets.Volta Finance has appointed AXA Investment Managers Paris, aninvestment management company with a division specialised instructured credit, for the investment management of all its assets.ABOUT AXA INVESTMENT MANAGERSAXA Investment Managers (AXA IM) is a multi-expert asset managementcompany within the AXA Group, a global leader in financial protectionand wealth management. AXA IM is one of the largest European-basedasset managers with ?485 billion in assets under management as of theend of December 2008. AXA IM employs approximately 2,900 peoplearound the world and operates out of 21 countries.CONTACTSCompany SecretaryMourant Guernsey Limitedvolta.finance(at)mourant.com+44 (0) 1481 715601Portfolio AdministratorDeutsche Bankvoltaadmin(at)list.db.comFor the Investment ManagerAXA Investment Managers ParisSerge Demayserge.demay(at)axa-im.com+33 (0) 1 44 45 84 47*****This press release is for information only and does not constitute aninvitation or inducement to acquire shares in Volta Finance. Itscirculation may be prohibited in certain jurisdictions and norecipient may circulate copies of this document in breach of suchlimitations or restrictions.This press release is not an offer of securities for sale in theUnited States. Securities may not be offered or sold in the UnitedStates absent registration with the United States Securities andExchange Commission or an exemption from registration under the U.S.Securities Act of 1933, as amended (the "Securities Act"). VoltaFinance has not registered, and does not intend to register, anyportion of any offering of its securities in the United States or toconduct a public offering of any securities in the United States.*****This document is being distributed by Volta Finance Limited in theUnited Kingdom only to investment professionals falling withinarticle 19(5) of the Financial Services and Market Act 2000(Financial Promotion) Order 2005 (the "Order") or high net worthcompanies and other persons to whom it may lawfully be communicated,falling within article 49(2)(A) to (E) of the Order ("Relevantpersons"). The shares are only available to, and any invitation,offer or agreement to subscribe, purchase or otherwise acquire theshares will be engaged only with, relevant persons. Any person who isnot a relevant person should not act or rely on this document or anyof its contents. Past performance cannot be relied on as a guide tofuture performance.*****This press release contains statements that are, or may deemed to be,"forward-looking statements". These forward-looking statements can beidentified by the use of forward-looking terminology, including theterms "believes", "anticipated", "expects", "intends", "is/areexpected", "may", "will" or "should". They include the statementsregarding the level of the dividend, the current market context andits impact on the long-term return of Volta's investments. By theirnature, forward-looking statements involve risks and uncertaintiesand readers are cautioned that any such forward-looking statementsare not guarantees of future performance. Volta Finance's actualresults, portfolio composition and performance may differ materiallyfrom the impression created by the forward-looking statements. VoltaFinance does not undertake any obligation to publicly update orrevise forward-looking statements.Any target information is based on certain assumptions as to futureevents which may not prove to be realised. Due to the uncertaintysurrounding these future events, the targets are not intended to beand should not be regarded as profits or earnings or any other typeof forecasts. There can be no assurance that any of these targetswill be achieved. In addition, no assurance can be given that theinvestment objective will be achieved.*****http://hugin.info/137695/R/1349094/324939.pdfThis announcement was originally distributed by Hugin. The issuer is solely responsible for the content of this announcement.
Datum: 21.10.2009 - 15:59 Uhr
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