VOLTA FINANCE - MARCH MONTHLY REPORT
(Thomson Reuters ONE) -
NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO
THE UNITED STATES
*****
Guernsey, 16 April 2010 - Volta Finance Limited (the "Company" or "Volta
Finance" or "Volta") has published its March 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 31.03.10 | At 26.02.10 |
+-----------------------------+-------------+-------------+
| Gross Asset Value (GAV / ?) | 97,571,728 | 91,911,310 |
+-----------------------------+-------------+-------------+
| GAV per share (?) | 3.22 | 3.03 |
+-----------------------------+-------------+-------------+
At the end of March 2010, the Gross Asset Value (the "GAV") of Volta Finance
Limited (the "Company", "Volta Finance" or "Volta") was ?97.6m or ?3.22 per
share, an increase of ?0.19 per share from ?3.03 per share at the end of
February 2010.
The February mark-to-market variations* of Volta Finance's asset classes have
been: +2.9% for ABS investments, +3.8% for mezzanine of CDO investments, +3% for
residuals of CDO investments and +19.3% for Corporate Credit investments. These
performances reflect some slight increases in the price of assets in almost all
the asset classes. It also reflects the significant payment, relative to the
fair value, of one Corporate Credit asset.
Excluding principal payments from short-term ABS investments (?0.1m in March),
Volta's assets have generated the equivalent of ?2.3m of cash flows in March
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 ?8.8m (an
annual rate of 19.6% of the end-of-period value of Volta's assets excluding cash
and near-cash assets). This amount could be compared with ?7.7m for the previous
six-month period ended in October 2009 (the most recent period which is
comparable considering the seasonality of payments).
In March, the Company invested only ?0.5m in a residual tranche of CLO
(Confluent Senior Loans Opportunity). As of the end of March the Company held
?6.5m of cash, including ?1.5m posted through margin calls linked to its
currency hedge positions. The dividend payment (?3.9m, ?0.13 per share) payable
on the 6(th) of April will be taken form Volta's end of March cash position.
MARKET ENVIRONMENT
In March, credit spreads tightened, reflecting a stable period during which
tensions on sovereign debts seem to stabilize and economic recovery, at least in
the US, tends to be confirmed. The 5y European iTraxx index (series 12) and the
5y iTraxx European Crossover Index (series 12) went from respectively 84 bps and
463 bps at the end of February to 75 bps and 392 bps at the end of March.
According to the CSFB Leverage Loan Index, the average price for US liquid first
lien loans increased from 88.78% to 90.63%.**
It should be notice that at the end of March 2010 the CLO market re-opened with
the issuance of a new CLO (USD 500 million). The debt tranches were publicly
placed, not the residual tranche.
VOLTA FINANCE PORTFOLIO
In March, no particular event materially affected the situation of the Corporate
Credit holdings. The first-loss positions in Jazz III and ARIA III remain highly
sensitive to any credit event that could occur. At the end of March, these
first-loss positions represented 60% of Volta's ?19.7m Corporate Credit assets.
The other Corporate Credit positions, valued for ?7.8m were two senior tranches
(initially rated AAA) and one mezzanine tranche (initially rated A) priced, on
average, at 51.7% of par. The positive performance for this asset class is
linked to the tightening of corporate credit spreads in March and to significant
payments from Jazz III positions (all together the 4 positions held on Jazz III
generated ?1.2m of cash flows in March).
As regards the Company's investments in residual and mezzanine debt of CLOs,
their situation was stabilizing after several months of improvement: the ratio
of downgrades to upgrades for the underlying assets (loans) is almost stable for
a quarter and defaults continued to occur but at a pace that, on average, had no
material impact on their situation. At the end of March 2010, the 12 classical
residual positions held by Volta (excluding Tennenbaum Opportunities Fund and
Confluent that are no or low-leverage deals) were priced, on average, at 33.3%
of ?54.8m of par (USD nominal amounts converted into euro using end-of-month
cross currency rate). The 21 mezzanine debt of CLOs held by Volta were priced,
on average, at 53.3% of ?61.6m of par (USD nominal amounts converted into euro
using end-of-month cross currency rate).
At the end of March, 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 currently paying.
As regards the Company's ABS investments, in March, 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
held by the Company to enhance its cash management amounted to ?3.2m.
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#1404604]
March Monthly Report: http://hugin.info/137695/R/1404604/358689.pdf
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