VOLTA FINANCE - INTERIM MANAGEMENT STATEMENT - 25 NOVEMBER 2009
(Thomson Reuters ONE) - NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, INOR INTO THE UNITED STATES*****Guernsey, 25 November 2009 - Volta Finance Limited (the "Company" or"Volta Finance" or "Volta") has published its Interim ManagementStatement. The full report is attached to this release and isavailable on Volta Finance Limited's financial website(www.voltafinance.com).Dear Shareholders and Investors,Over the quarter, from the end of July 2009 to the end of October2009, the Gross Asset Value (the "GAV") of Volta Finance Limited (the"Company", "Volta Finance" or "Volta") went from ?59.3m or ?1.96 pershare, to ?76.4m or ?2.52 per share.During the same period, the Company invested ?12.2m in 10 differentassets: five tranches of CLOs, three junior-AAA tranches of CorporateCredit portfolios and two very short-term first pay European ABStranches.Overall, the cash flows generated by the Company's assets amounted to?4.4m, compared to ?7.2m for the same period in 2008 (non euroamounts being translated in euro using end of month currency rate).Relative to the valuation of Volta's assets at the beginning of theperiod (?¬27.7m), the cash generated by the assets is rathersignificant.As a consequence of the investments made during the period andconsidering the payment of a dividend of ?0.10 per share the third ofDecember (?3m of cash), as well as the settlement of some furtherinvestments and expenses net of interest received since the end ofOctober, the cash available in the Company's accounts went from?27.7m at the end of July to ?4.7m at the time of writing thisstatement.The increase of the GAV during the quarter is mainly due to increasesin the price of structured credit products, including recently boughtassets, as well as to the generation of cash flows from theunderlying assets.MARKET ENVIRONMENT AND LATEST DEVELOPMENTSOver the quarter, the economic crisis continued to affect theperformance of credit assets. However, government and central bankmeasures demonstrated their ability to support the economy as theycontributed to an improvement in financial markets over the period.The 5y European iTraxx index (series 11) tightened modestly from 88.2to 85 bps, the 5y iTraxx European Crossover index (series 11)tightened more significantly from 614 bps to 431 bps and the CSFBLeverage Loan Index, the average price for US liquid first lienloans, increased significantly from 70.28% to 80.27%.**During the quarter, rating agencies continued downgrading most of theCLO tranches, even the most senior one, following the review of theunderlying asset ratings, of their assumptions on corporate defaultsand of their rating models. Numerous defaults and rating downgrades,especially in the loan market, occurred during the quarter, but at aslower pace than in the previous near quarters. Payments on theresidual positions and on the most junior debt tranche of CLOs havefrequently been affected.VOLTA FINANCE PORTFOLIOCorporate CreditAs 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% tranches. This, we believe,demonstrates the ability of the manager of the underlying portfolioto preserve and even create some value over the last 12 months. InSeptember, the positions in Jazz III paid their coupon in line withprevious expectations and are expected to do so in the comingperiods.The Corporate Credit holdings that were valued at ?8.7m at the end ofJuly generated the equivalent of ?2.1m of cash flows during thequarter (between end of July to end of October 2009) and are valuedfor ?13.8m at the end of October (including assets purchased duringthe quarter for ?4.9m).One third of this bucket is made of junior-AAA tranches of CorporateCredit portfolios bought recently, and which benefited fromsignificant subordination. The situation of the remaining CorporateCredit holdings (Jazz IIII and ARIA III) is unchanged since the endof July: they are still expected to continue paying cash flows untiltheir respective maturity. However, due to their first loss position,Jazz III and Aria III remain immediately at risk of the occurrence ofdefaults in this particularly difficult economic environment.CDOAs 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 near previous quarters.During the quarter, the number of residual tranches suffering atleast a partial diversion of cash flows remained almost stable. Thiswas also the case of the payments received from those positions. Someinformation received recently from those assets tend to point towardssome improvement. The residual CLO positions that were valued at?9.2m at the end of July, have generated the equivalent of ?1.6mduring the quarter and have seen their valuation significantlyincreasing to ?17.8m at the end of October 2009 (including assetspurchased during the quarter for ?0.4m).As regards the 14 mezzanine debt tranches held by Volta, whichrepresent 20.1% of the end of October GAV, two of them suffered adiversion of their coupon payments (Cheyne Credit Opp. and Alpstar 2AE), but, except for Alpstar 2A E that have been impaired at the endof July, for all of them a full payment of coupons and principal isexpected to be met under an average scenario for defaults and ratingmigrations.The positions in mezzanine debt of CLOs that were valued at ?6.1m atthe end of July, have generated the equivalent of ?0.3m of cash flowsduring the quarter and are valued at ?15.3m at the end of October2009 (including asset purchased for ?3.6m).The depressed economic environment and the ongoing wave of downgradesand defaults are expected to continue having negative impacts on theexpected cash flows of most of the Company's CLO residuals and lessfrequently on debt holdings.ABSAs regards the Company's ABS investments, no particular eventaffected the six UK non-conforming residual holdings. These sixpositions, valued at ?107 thousand at the end of July, generated theequivalent of ?15 thousand and are valued at ?74 thousand at the endof October.Promise Mobility, a residual position on a very largely diversifiedportfolio of small and medium German companies representing 9.09% ofthe end of October GAV, continued to perform in line or above initialexpectations. However, the worsening situation of the German economy,despite a strong commitment from the German government to limit thecontamination of the German "Mittelstand" by the global economiccrisis could, at some point in time, have an effect on the cash flowsexpected from this investment.This asset, which was valued at ?7.4m at the end of July, hasgenerated ?0.4m of cash flows during the quarter and is valued at?6.9m at the end of October 2009.During the period, Volta invested ?3.3m in two short-term EuropeanABS in order to improve the return on its cash position.Since the end of October and at the date of publishing this statementthe Company's assets have continued to generate cash flows and theCompany have continued investing: the equivalent ?0.8m have beenreceived from existing assets and the equivalent of ?12.7m have beenengaged in recent purchases (one junior-AAA tranches of CorporateCredit Portfolio and four debt tranches of CLOs).At the time of publishing this statement, considering the necessityto maintain some cash for margin calls that could arise from time totime from the hedging of the currency risk, the Company hadapproximately ?3m available for investment. Considering the pace atwhich investments have been conducted during the most recent months,it could be expected that most of this cash will be invested beforethe end of the calendar year.Unless stated otherwise, the figures in this document are as at endof October as valuations and are available only on a monthly basiswith some delays. Between 30 October 2009 and 25 November 2009, thedate of publication of this Interim Management Statement, the Companyis unaware about any significant event, materially affecting thecompany's financial position or the company's controlled undertaking.(Full Interim Management Statement attachment or onwww.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 June 2009. AXA IM employs approximately 2,900 people aroundthe 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/1357225/330064.pdfThis announcement was originally distributed by Hugin. The issuer is solely responsible for the content of this announcement.
Datum: 25.11.2009 - 16:25 Uhr
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