NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO
THE UNITED STATES
Guernsey, 18 November 2011 - Volta Finance Limited (the "Company" or "Volta
Finance" or "Volta") has published its monthly report. The full report is
attached to this release and is available on Volta Finance Limited's financial
Gross Asset Value
| Â | At 31.10.11 | At 30.09.11 |
| Gross Asset Value (GAV / â‚¬ million) | 134.4 | 134.6 |
| GAV per share (â‚¬) | 4.36 | 4.37 |
At the end of October 2011, the Gross Asset Value (theÂ "GAV") of Volta Finance
Limited (theÂ "Company", "Volta Finance" or "Volta") was â‚¬134.2m or â‚¬4.36 per
share, a decrease of â‚¬0.01 per share from â‚¬4.37 GAV per share at the end of
Year to date performance of Volta's assets, as of the end of August, including
April dividend payment and according to the GAV, is a positive 6.7%.
The October mark-to-market variations* of Volta Finance's asset classes have
been: +1.8% for ABS investments, +1.8% for mezzanine of CDO investments, -0.7%
for residuals of CDO investments and +5.5% for Corporate Credit investments. The
almost stable GAV in October reflected the overall stabilisation or tightening
in credit spreads despite the continuing European sovereign debt crisis and the
overall downward revision of growth in developed economies. These downward
effects on prices being almost fully compensated by cash flows received during
Volta's assets generated the equivalent of â‚¬3.1m of cash flows in October 2011
(non-euro amounts converted to euro using end-of-month cross currency rates and
excluding principal payments from debt assets) bringing the total cash generated
during the last six months to â‚¬13.7m. This amount can be compared with â‚¬11.1m
for the previous six-month period ended in April 2011 (the most recent period
which is comparable considering the seasonality of payments).
This â‚¬13.7m is a new record since January 2009 and is twice the lowest amount
recorded in the six-month period ended in November 2009, adding some evidence of
Volta's capacity to rebuild its financial position since the 2007/2008 crisis.
In October, no asset were purchased or sold by the Company.
At the end of October, Volta held â‚¬3.5m in cash excluding â‚¬0.8m received from
margin calls in respect of its currency hedge. Considering the pace at which
cash flows are generated and the necessity to keep cash available for the next
dividend payment, Volta could be considered as almost fully invested.
In October, credit spreads tightened in Europe and in the US following the
26(th) October European summit that was supposed to solve the European sovereign
crisis. The spread of the 5y European iTraxx index and of the 5y iTraxx European
Crossover Index (series 15) tightened, respectively, from 202 and 759 bps at the
end of September to 160 and 598 bps at the end of October. During the same
period, credit spreads in the US, as illustrated by the 5y CDX main index
(series 16), declined from 134 to 116 bps at the end of October 2011. According
to the CSFB Leverage Loan Index, the average price for US liquid first lien
loans increased at 92.44% compared to 90.35% at the end of September.**
Overall, the tensions that have been present in most markets since March have
affected structured finance markets since June. On average, prices are back to
the end of 2010 levels.
VOLTA FINANCE PORTFOLIO
In October, no particular event materially affected the situation of the
Corporate Credit holdings. However, it should be mentioned that the first-loss
positions in Jazz III and ARIA III remain highly sensitive to any credit event
that could occur, especially to financial debts considering the significant
exposures to bank debt held through these positions. At the time of writing it
is not yet clear if two assets held in this bucket (Jazz III and ARIA III) will
need to record a default on Seat Pagine Gialle. This name represents 0.2% of
Aria III's portfolio and 0.85% of Jazz III's portfolio. Such default, if
confirmed in the coming days, will have a very limited impact on Volta's GAV as
it is almost fully priced in. It should be remembered too that the occurrence of
such defaults from time to time is part of the normal life of such assets. For
example, looking at Aria III, the expected loss rate based on the ratings of the
underlying corporate credits in the current portfolio, is 0.32% per annum.Â In
fact, ARIA III's underlying portfolio had recorded no default for the last 3
years (since the Lehman default in September 2008).
At the end of October, the average price of the assets in this bucket was
unchanged at 42.5%.
As regards the Company's investments in residual and mezzanine debt of CDOs, at
the end of October, from a total of 53 positions in residual or mezzanine debt
of CDOs, only one residual position (Carlyle IX) is still unable to pay its
coupon due to an over collateralisation test breach. The 52 other positions are
currently paying. No particular event materially affected the situation of these
At the end of October the 40 mezzanine debt tranches of CDOs (38 tranches of
CLOs, 1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), totalling the
equivalent of â‚¬99.5m of principal amount, were valued at an average price of
59% of par; the 12 classic residual tranches of CLOs, totalling the equivalent
of â‚¬51.1m of principal amount, were valued at an average price of 62%; the rest
of the bucket, one loan fund, for the equivalent of â‚¬10.8m of principal amount,
was valued at 82% of par.
As regards the Company's ABS investments, at the end of October, nothing special
affected the main position (Promise Mobility) or the other investments in this
bucket (6 UK non-conforming residual positions)
The Company considers that opportunities could arise in several structured
credit sectors in the current market environment. Amongst others, mezzanine
tranches of CLOs and of European ABS as well as tranches of Corporate Credit
portfolios could be considered for investments. Potential investments could be
made depending on the pace at which market opportunities could be seized and
cash is available. The recent widening of discount margins has been seized upon
by the Company to invest most of the cash available. Depending on market
opportunities, the Company is also in the position to take advantage of current
volatility in prices to sell some assets in order to reinvest the sale proceeds
on assets representing, at the time of purchase, a better opportunity for the
* "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.
Â (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 â‚¬514
billion in assets under management as of the end ofÂ June 2011. AXA IM employs
approximately 2,389 people around the world and operates out ofÂ 21 countries.
State Street (Guernsey) Limited
+44 (0) 1481 715601
For the Investment Manager
AXA Investment Managers Paris
+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 circulateÂ 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").Â 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.
October Monthly Report:
This announcement is distributed by Thomson Reuters on behalf of
Thomson Reuters clients. The owner of this announcement warrants that:
(i) the releases contained herein are protected by copyright and
other applicable laws; and
(ii) they are solely responsible for the content, accuracy and
originality of the information contained therein.
Source: Volta Finance Limited via Thomson Reuters ONE