VOLTA FINANCE - FEBRUARY MONTHLY REPORT
(Thomson Reuters ONE) -
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO
THE UNITED STATES
*****
Guernsey, 18 March 2010 - Volta Finance Limited (the "Company" or "Volta
Finance" or "Volta") has published its January 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 26.02.10 | At 29.01.10 |
+-----------------------------+-------------+-------------+
| Gross Asset Value (GAV / ?) | 91,911,310 | 86,771,993 |
+-----------------------------+-------------+-------------+
| GAV per share (?) | 3.03 | 2.87 |
+-----------------------------+-------------+-------------+
At the end of February 2010, the Gross Asset Value (the "GAV") of Volta Finance
Limited (the "Company", "Volta Finance" or "Volta") was ?91.9m or ?3.03 per
share, an increase of ?0.16 per share from ?2.87 per share at the end of January
2010.
The February mark-to-market variations* of Volta Finance's asset classes have
been: +1.4% for ABS investments, -0.5% for mezzanine of CDO investments, +19.3%
for residuals of CDO investments and -0.7% for Corporate Credit investments.
These performances reflect some significant increases in the price of some of
the residuals of CLOs held by the Company, reflecting the ongoing acknowledgment
by market participants of recent improvements in their situation.
Excluding principal payments from short-term ABS investments (?0.2m in
February), Volta's assets have generated the equivalent of ?1.0m of cash flows
during February 2010 (non-euro amounts converted into euro using end-of-month
cross currency rates) bringing the total cash generated during the last six
months to ?7.8m (excluding principal payments from short-term ABS), compared
with ?8.2m for the previous six-month period ended in August 2009 (the most
recent period which is comparable considering the seasonality of payments).
In February, the Company invested only ?0.8m in a residual tranche of CLO
(Confluent Senior Loans Opportunity). As of the end of February the Company held
?4.4m of cash, including ?1.3m posted through margin calls linked to its
currency hedge positions.
MARKET ENVIRONMENT
In February, credit spreads were very modestly widening reflecting a very stable
period during which tensions on sovereign debts seem to stabilize as well as the
economic activity. The 5y European iTraxx index (series 12) and the 5y iTraxx
European Crossover Index (series 12) went from respectively from 83 bps and 454
bps at the end of January to 84 bps and 463 bps at the end of February.
According to the CSFB Leverage Loan Index, the average price for US liquid first
lien loans very modestly declined, from 88.94% to 88.78%.**
VOLTA FINANCE PORTFOLIO
In February, no particular event materially affected the situation of the
Corporate Credit holdings. The two first-loss positions in Jazz III and ARIA III
remain highly sensitive to any credit event that could occur. At the end of
February, these two first-loss positions represented 57% of Volta's ?17.4m
Corporate Credit assets, the remaining portion being composed of two senior
tranches (initially rated AAA) and one mezzanine tranche (initially rated A).
The very slight decline in value for this asset class is linked to the very
modest widening of credit spreads.
As regards the Company's investments in residual and mezzanine debt of CLOs, it
should be noticed that the ratio of downgrades to upgrades for the underlying
assets (loans) is almost stable for the second consecutive month and that
defaults continued to occur but still at a lower pace than in the previous
months. Taking all these positions together, it has been highlighting for
several months in the previous monthly reports that the average situation of
those positions was improving. In February, for the second monthly period, it
has been clearly reflected into their market prices: the average market price of
the classical residual positions (excluding Tennenbaum Opportunities Fund and
Confluent that are no or low-leverage deals) held by the Company went from
28.8% to 33.3% (19.8% at the end of December).
At the end of February, from a total of 35 positions, two of the mezzanine
positions (Alpstar 2A E and Cheyne Credit Opp.) and three of the residual
positions (Carlyle IX, Kingsland IV and Nortwoods VIII) are still unable to pay
their coupon due to overcollateralisation test breaches. The 30 other positions
are normally paying.
As regards the Company's ABS investments, in February, no particular event
affected the six UK non-conforming residual holdings as well as Promise
Mobility, a residual position in a highly diversified portfolio of small and
medium German company loans. The various investments in short-term euro ABS
senior tranches amounted to ?3.3m.
The Company considers that opportunities could arise in several structured
credit sectors in the current market environment. Among others, mezzanine
tranches of CLOs and of European ABS or senior tranches of Corporate Credit
portfolios could be considered for investments. Potential investments will be
made depending on the pace at which market opportunities could be seized and
cash is available. From time to time, as it was the case in January 2010, the
Company could be expected to sell some previous investments in order to seize
other opportunities in the market.
* "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
nearly ?500 billion in assets under management as of the end of December 2009.
AXA IM employs approximately 2,857 people around the world and operates out
of 21 countries.
CONTACTS
Company Secretary
Mourant Guernsey Limited
volta.finance(at)mourant.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.
*****
[HUG#1395317]
February Monthly Report: http://hugin.info/137695/R/1395317/352136.pdf
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Datum: 18.03.2010 - 08:31 Uhr
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