VOLTA FINANCE - OCTOBER MONTHLY REPORT
(Thomson Reuters ONE) - NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, INOR INTO THE UNITED STATES*****Guernsey, 17 November 2009 - Volta Finance Limited (the "Company" or"Volta Finance" or "Volta") has published its October monthly report.The full report is attached to this release and is available on VoltaFinance Limited's financial website (www.voltafinance.com).Gross Asset Value+---------------------------------------------------------+| | At 30.10.09 | At 30.09.09 ||-----------------------------+-------------+-------------|| Gross Asset Value (GAV / ?) | 76,368,834 | 68,735,527 ||-----------------------------+-------------+-------------|| GAV per share (?) | 2.52 | 2.27 |+---------------------------------------------------------+At the end of October 2009, the Gross Asset Value (the "GAV") ofVolta Finance Limited (the "Company", "Volta Finance" or "Volta") was?76.4 m or ?2.52 per share, an increase of ?0.25 per share from ?2.27per share as at the end of September 2009.The October mark-to-market variations* of Volta Finance's assetclasses have been: +1.2% for ABS investments, +27.6% for mezzanine ofCDO investments, +32.3% for residuals of CDO investments and +3.4%for Corporate Credit investments. The increase in the GAV is mostlydue to price increases in the CDO bucket both from equity pieces andmezzanine debt tranches.Volta's assets have generated the equivalent of ?2.5m of cash flowsduring October 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 ?4.4m, compared with ?7.2m for the same three-month period in2008.In October the Company invested a total of ?5.8m in five deals: asenior tranche of a Corporate Credit portfolio (Dryden XVII), a combonote of CLO (Leopard IV), a mezzanine tranche of a CLO (H1776 2006)and two very senior tranches of European ABS (Permanent Financing andHerme 7).MARKET ENVIRONMENTIn October, credit spreads continued to tighten modestly. Theeconomic data collected over the month tend to confirm that theimprovement in economic sentiment recorded for several months ismaterialising through economic real outputs. Domestic consumption(excluding government spending) in developed countries remains weak,which is likely to remain a drag on the economic recovery for theforeseeable future despite some improvement of consumer sentiments.The 5y European iTraxx index (series 11) was unchanged at 85 bps atthe end of October. During the month, the 5y iTraxx EuropeanCrossover Index (series 11) continued to tighten from 482 bps to 431bps. According to the CSFB Leverage Loan Index, the average price forUS liquid first lien loans increased modestly, from 84.38% to84.76%.**VOLTA FINANCE PORTFOLIOAs regards the Company's Corporate Credit holdings, Jazz III sufferedthe default of CIT Group and ARIA III recorded no particular event.One year ago after the default of Lehman Brothers Holding Inc., theJazz III Euro and USD tranches, accounting respectively for 85% and15% of the Jazz III residual positions, were respectively 0/3.41% and0/3.27% tranches. After the default of CIT and considering thecurrent market recovery on this default, they are expected to berespectively 0/3.74% and 0/3.41%. This, we believe, demonstrates theability of the manager to preserve and even create some value overthe last 12 months. In September, the positions in Jazz III paidtheir coupon in line with previous expectations and are expected todo so in the coming periods. However, the two first-loss positions inJazz III and ARIA III remain highly sensitive to any credit eventthat 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, but payments received from thosepositions have been increasing. As a matter of fact, the amountreceived from the six US residual positions that were supposed to payin October, totalled USD1.6m compared with USD0.8m for the previouspayment three months ago.As regards the 14 mezzanine debt tranches held by Volta, whichrepresent 20.1% 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, as demonstrated by the payments received inOctober from the US residual positions, the rebound in loan pricesallowed some CLO managers to clean up certain positions, and evidenceshowing that some improvement could be expected on the payments fromthese positions despite the economic environment has started toappear.As regards the Company's ABS investments, no particular event hasaffected the six UK non-conforming residual holdings as well asPromise Mobility, a residual position in a very diversified portfolioof small and medium German company loans. The three positions takenas a substitute for cash management in very senior euro ABS tranchesbehaved as expected.At the end of September, the Company held the equivalent of ?20.0m ofcash (?0.66 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/1355655/329140.pdfThis announcement was originally distributed by Hugin. The issuer is solely responsible for the content of this announcement.
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