NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
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Guernsey, 18 June 2010 - Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") has published its May monthly report. The full report is attached to this release and is available on Volta Finance Limited's financial website (www.voltafinance.com (http://www.voltafinance.com/)).
Gross Asset Value
| At 31.05.10 | At 30.04.10 | |
| Gross Asset Value (GAV / €) | 100,745,605 | 100,184,834 |
| GAV per share (€) | 3.32 | 3.31 |
At the end of May 2010, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €100.7m or €3.32 per share, a slight increase of €0.01 per share from €3.31 per share at the end of April 2010.
The May mark-to-market variations* of Volta Finance's asset classes have been: +1.1% for ABS investments, -3%% for mezzanine of CDO investments, +7.9% for residuals of CDO investments and -13.7% for Corporate Credit investments. The stabilisation of the GAV in May, despite a significant widening of credit spread and an almost general decline in prices, has been permitted by cash flows received in May, mainly from residual of CLOs positions, and by one significant increase in the price of one of these positions that resumed paying in May a full payment after two quarters without any payment (May and August 2009) and two quarters with partial payment (November 2009 and February 2010).
Excluding principal payments from short-term ABS investments, Volta's assets have generated the equivalent of €1.9m of cash flows in May 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 €9.6m. This amount could be compared with €7.0m for the previous six-month period ended in November 2009 (the most recent period which is comparable considering the seasonality of payments).
In May, the Company took advantage of the decline in market prices of mezzanine debt tranches of CLOs to make 3 investments for €4.8m in this area (Oryx IX-D, Centurion 10-E and Limerock 1A-D).
At the end of May, Volta had €6.3m in cash including €2.6m posted for margin calls in respect of its currency hedge positions.
MARKET ENVIRONMENT
In May, credit spreads widened significantly, reflecting a nervous period in most markets as tensions on sovereign debts seem to exacerbate again. The sentiment, that could be questioned, that governments, trapped with excess deficits, are now unable to react appropriately, if needed, to further possible economic difficulties encouraged a lot of market participants to increase the margin required for holding risky assets. The 5y European iTraxx index (series 12) and the 5y iTraxx European Crossover Index (series 12) increased respectively from 85 and 391 bps at the end of April to respectively 115 and 521 bps at the end of May. According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans decreased from 91.85% to 89.73%.**
VOLTA FINANCE PORTFOLIO
In May, 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. At the end of May, these first-loss positions represented 8.9% of Volta's GAV. The other Corporate Credit positions, representing 8.4% were two senior tranches (initially rated AAA) and one mezzanine tranche (initially rated A).
As regards the Company's investments in residual and mezzanine debt of CLOs, representing two-thirds of Volta's GAV, the company has successfully reinvested at the end of April (one deal) and in May (three deals at an average acquisition price of 47%) the proceed of the two residual positions that were sold in April. At the end of May, from a total of 38 positions in residual or mezzanine debt of CLOs, two of the mezzanine positions (Alpstar 2A E and Cheyne Credit Opp.) and two of the residual positions (Carlyle IX and Northwoods VIII) are still unable to pay their coupon due to over collateralisation test breaches. The 34 other positions are currently paying. At the end of May the mezzanine debt tranches, totalling €74.4m of principal amount, were valued for €38.8m.
As regards the Company's ABS investments, in May, no particular event materially affected the six UK non-conforming residual holdings. According to its latest report, Promise Mobility, a residual position in a highly diversified portfolio of small and medium German company loans, suffered some losses in the last quarter but the cumulated losses on this deal (0.23% since inception) are still significantly below what was projected when this deal entered into Volta's portfolio. The two 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. Amongst 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 was the case in January 2010 and again in April 2010, and in line with what has been described in the latest semi-annual report of Volta, the Company could be expected to sell some previous assets in order to reinvest the sale proceeds in almost similar investments for which expected cash flows are anticipated to be less uncertain or higher than the ones that were expected from the sold assets.
* "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 (http://www.voltafinance.com/))
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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@mourant.com (mailto:volta.finance@mourant.com)
+44 (0) 1481 715601
Portfolio Administrator
Deutsche Bank
voltaadmin@list.db.com (mailto:voltaadmin@list.db.com)
For the Investment Manager
AXA Investment Managers Paris
Serge Demay
serge.demay@axa-im.com (mailto:@axa-im.com)
+33 (0) 1 44 45 84 47
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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.
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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.
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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.
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