VOLTA FINANCE - JANUARY MONTHLY REPORT
(Thomson Reuters ONE) - NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTOTHE UNITED STATES*****Guernsey, 15 February 2010 - Volta Finance Limited (the "Company" or "VoltaFinance" or "Volta") has published its January monthly report. The full reportis attached to this release and is available on Volta Finance Limited'sfinancial website (www.voltafinance.com ).Gross Asset Value+-----------------------------+-------------+-------------+| | At 29.01.10 | At 31.12.09 |+-----------------------------+-------------+-------------+| Gross Asset Value (GAV / ?) | 86,771,993 | 78,477,357 |+-----------------------------+-------------+-------------+| GAV per share (?) | 2.87 | 2.59 |+-----------------------------+-------------+-------------+At the end of January 2010, the Gross Asset Value (the "GAV") of Volta FinanceLimited (the "Company", "Volta Finance" or "Volta") was ?86.8m or ?2.87 pershare, an increase of ?0.28 per share from ?2.59 per share at the end ofDecember 2009.The January mark-to-market variations* of Volta Finance's asset classes havebeen: +1.9% for ABS investments, +9.5% for mezzanine of CDO investments, +30.1%for residuals of CDO investments and -2.8% for Corporate Credit investments.These performances reflect the modest widening of spreads in the corporatecredit area and the acknowledgement by market participants of the improvingsituation of residual positions in CLOs.Excluding principal payments from short-term ABS investments (?0.1m in January),Volta's assets have generated the equivalent of ?1.6m of cash flows duringJanuary 2010 (non-euro amounts converted into euro using end-of-month crosscurrency rates) bringing the total cash generated for the current semi-annualperiod that began on the 1(st) of August 2009 to ?7.4m (excluding principalpayments from short-term ABS), compared with ?13.7m for the same six-monthperiod in 2008 and with ?8.8m collected for the previous semi-annual periodended in July 2009.In January, the Company invested a total of ?2.6m in two deals: a mezzaninetranche of CLO (Guggenheim 2002 - C) and one short-term ABS (HMI 2006 - 3A2). Asof the end of January the Company held ?4.2m of cash, including ?0.5m postedthrough margin calls linked to its currency hedge positions.MARKET ENVIRONMENTIn January, credit spreads widened modestly on the back of sovereign risktensions.The 5y European iTraxx index (series 12) and the 5y iTraxx European CrossoverIndex (series 12) widened respectively from 73 bps and 430 bps at the end ofDecember to 82 bps and 454 bps at the end of January. According to the CSFBLeverage Loan Index, the average price for US liquid first lien loans increasedsignificantly, from 87.41% to 88.94%.**VOLTA FINANCE PORTFOLIOAs regards the Company's Corporate Credit holdings, in January, no particularevent materially affected the situation of the Corporate Credit holdings. Thetwo first-loss positions in Jazz III and ARIA III remain highly sensitive to anycredit event that could occur. At the end of January, these two first-losspositions represented 60% of Volta's ?17.4m Corporate Credit assets, theremaining portion being composed of two senior tranches (initially rated AAA)and one mezzanine tranche (initially rated A). The slight decline in value forthese assets is linked to the modest widening of credit spreads.As regards the Company's investments in residual and mezzanine debt of CLOs,defaults and downgrades in underlying portfolios continued to occur, albeit at aslower pace than in the previous months. Taking all these positions together, ithas been highlighting for several months in the previous monthly reports thatthe average situation of those positions were improving. In January, it finallystarted to be reflected by their market prices: the average market price of theclassical residual positions (excluding Tennenbaum Opportunities Fund andConfluent) went from 19.8% to 28.8%.Considering the latest purchase made in January, the mezzanine debt trancheportfolio held by Volta is now made of 21 different positions, representing 37%of the end-of-month GAV. Nothing material occurred during the month regardingthese assets. Two of these positions (Alpstar 2A E and Cheyne Credit Opp.) arestill unable to pay their coupon due to an overcollateralisation test breach.As regards the Company's ABS investments, in January, no particular eventaffected the six UK non-conforming residual holdings as well as PromiseMobility, a residual position in a highly diversified portfolio of small andmedium German company loans. The various investments in short-term euro ABSsenior tranches amounted to ?3.5m.The Company considers that opportunities could arise in several structuredcredit sectors in the current market environment. Among others, mezzaninetranches of CLOs and of European ABS or senior tranches of Corporate Creditportfolios could be considered for investments. Investments will be madedepending on the pace at which market opportunities could be seized and cash isavailable. From time to time, as it was the case in December, the Company shouldbe expected to sell some previous investments in order to seize otheropportunities in the market.* "Mark-to-market variation" is calculated as the Dietz-performance of theassets 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 crosscurrency rates Nevertheless, some residual currency effects could impact theaggregate 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 LIMITEDVolta Finance Limited is incorporated in Guernsey under the Companies (Guernsey)Laws, 1994 to 1996 (as amended) and listed on Euronext Amsterdam. Its investmentobjectives are to preserve capital and to provide a stable stream of income toits shareholders through dividends. For this purpose, it pursues a multi-assetinvestment strategy targeting various underlying assets. Volta Finance's basicapproach to its underlying assets is through vehicles and arrangements thatprovide leveraged exposure. The exposure to those underlying assets is gainedthrough direct and indirect investment in five principal asset classes:corporate credits, CDOs, ABS, leveraged loans, and infrastructure assets.Volta Finance has appointed AXA Investment Managers Paris, an investmentmanagement company with a division specialised in structured credit, for theinvestment management of all its assets.ABOUT AXA INVESTMENT MANAGERSAXA Investment Managers (AXA IM) is a multi-expert asset management companywithin the AXA Group, a global leader in financial protection and wealthmanagement. AXA IM is one of the largest European-based asset managers withnearly ?500 billion in assets under management as of the end of November 2009.AXA IM employs approximately 2,875 people around the world and operates outof 21 countries.CONTACTSCompany SecretaryMourant Guernsey Limitedvolta.finance(at)mourant.com +44 (0) 1481 715601Portfolio AdministratorDeutsche Bankvoltaadmin(at)list.db.com For 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 an invitationor inducement to acquire shares in Volta Finance. Its circulation may beprohibited in certain jurisdictions and no recipient may circulate copies ofthis 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 registrationwith the United States Securities and Exchange Commission or an exemption fromregistration under the U.S. Securities Act of 1933, as amended (the "SecuritiesAct"). Volta Finance has not registered, and does not intend to register, anyportion of any offering of its securities in the United States or to conduct apublic offering of any securities in the United States.*****This document is being distributed by Volta Finance Limited in the UnitedKingdom only to investment professionals falling within article 19(5) of theFinancial Services and Market Act 2000 (Financial Promotion) Order 2005 (the"Order") or high net worth companies and other persons to whom it may lawfullybe communicated, falling within article 49(2)(A) to (E) of the Order ("Relevantpersons"). The shares are only available to, and any invitation, offer oragreement to subscribe, purchase or otherwise acquire the shares will be engagedonly with, relevant persons. Any person who is not a relevant person should notact or rely on this document or any of its contents. Past performance cannot berelied 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 identifiedby 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, thecurrent market context and its impact on the long-term return of Volta'sinvestments. By their nature, forward-looking statements involve risks anduncertainties and readers are cautioned that any such forward-looking statementsare not guarantees of future performance. Volta Finance's actual results,portfolio composition and performance may differ materially from the impressioncreated by the forward-looking statements. Volta Finance does not undertake anyobligation to publicly update or revise forward-looking statements.Any target information is based on certain assumptions as to future events whichmay not prove to be realised. Due to the uncertainty surrounding these futureevents, the targets are not intended to be and should not be regarded as profitsor earnings or any other type of forecasts. There can be no assurance that anyof these targets will be achieved. In addition, no assurance can be given thatthe investment objective will be achieved.[HUG#1384667] January Monthly Report: http://hugin.info/137695/R/1384667/343367.ppt
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