NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
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Guernsey, 1 June 2012 - Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") has published its Interim Management Statement. The full report is attached to this release and is available on Volta Finance Limited's financial website (www.voltafinance.com).
Dear Shareholders and Investors,
Over the quarter, from the end of January 2012 to the end of April 2012, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") went from €140.2m or €4.53 per share, to €157.1m or €5.03 per share. During the same period Volta paid a €0.22 dividend per share; it reflects a positive 15.9% quarterly performance in its value.
During the same period, the Companypurchased 2 assets for €1.2m. Since the end of the period Volta sold very recently, one ABS for €8m.
During the quarter, cash flows generated by the Company's assets, excluding asset sales and principal payments from assets, amounted to €8.7m (non euro amounts being translated in euro using the end of month currency rate). This amount could be compared to €8.9m for the most recent comparable 3-month period (from the end of July 2011 to the end of October 2011). The cash generated by the assets, during the quarter under review, is rather significant, being close to an annual rate of 25% of Volta's asset valuation, excluding cash, at the beginning of the period (€136.3m).
The cash position in the Company's accounts went from €3.8m at the end of January 2012 to €5.1m at the end of April 2012, including €0.3m received in respect of the currency hedge transactions and excluding €1.1m due for the latest purchase. Since the end of April 2012 as a result of some further coupon payments and after the settlement of the most recent purchase (before the very recent sale that has not yet settled), the cash position in the Company has increased to €6.5m at the time of writing.
The increase in the GAV during the quarter is due to decreases in discount margins attached to structured credit products as well as to the high level of cash flows generated by its assets.
At the time of publishing this statement, Volta sold one of its residual positions in UK non conforming mortgages. This position was sold with a €5.3m gain, reflecting dramatic and recent changes in the way market participants consider these assets. Volta had recently increased the valuation of these assets. In the March 2012 monthly report, it was stated that the these revised valuations were conservative.
Considering the pace at which cash flows are generated and the coming settlement of the very recent sale, Volta's ability to invest is close to €12m.
MARKET ENVIRONMENT AND LATEST DEVELOPMENTS
From the end of January 2012 to the end of April 2012, the 5y European iTraxx index (series 16) and the 5y iTraxx European Crossover index (series 16) was almost unchanged, from respectively 143 and 620 bps to respectively 140 and 615 bps.During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 17), decreased from 103 to 89 bps at the end of April 2012. According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans increased from 93.60% to 94.76%. *
VOLTA FINANCE PORTFOLIO
Corporate Credit
Over the quarter, the sole material event that affected the Corporate Credit holdings was the occurrence of the highly expected default of the Republic of Greece. It had no material impact on the market value of Volta's first-loss positions (Jazz III and ARIA III) as it has been priced in for months. It should be noted that the first loss positions remain highly sensitive to any credit event that could occur. The other positions in this bucket are senior positions that are either far from being concerned by this default thanks to their high level of subordination to losses or were not impacted at all by the Greek default.
Over the quarter, the value of the first loss positions went from €6.9m to €6.7m. However they generated €1.6m of interest or coupons during the quarter.
The value of the debt tranches in the Corporate Credit bucket went from €20.4m to €21.4m (€23.2m of principal amount) and generated €0.2m of coupons during the quarter.
The last position, a recent investment in regulatory capital trades saw its value moving from €5m to €5.1m at the end of April 2012.
CDO
This bucket that accounted, at the end of April 2012 for 72.4% of the GAV, is comprised of equity and debt tranches of CLOs. During the quarter, on average, defaults and downgrades in the underlying loan portfolios continued to occur, albeit at a slower pace than in the more recent quarters which remained low compared to historical average
At the end of April 2012, the 11 USD equity positions were valued at €42.7m (at 74% of par on average, from 65% of par at the end of January 2012). During the quarter they generated €3.7m of cash flows.
At the end of April 2012, the 2 euro equity positions were valued at €3.2m (at 35% of par on average, from 37% of par at the end of January 2012). During the quarter they generated €0.5m of cash flows.
At the end of April 2012, the 23 USD debt positions were valued at €36.9m (at 74% of par on average, from 71% of par at the end of January 2012). During the quarter they generated €0.5m of cash flows.
At the end of April 2012, the 19 euro debt positions were valued at €30.9m (at 57% of par on average, from 53% of par at the end of January 2012). During the quarter they generated €0.7m of cash flows.
ABS
At the end of April, this bucket comprises of two different kind of assets: Promise Mobility, a residual position on a very largely diversified portfolio of small and medium German companies and 6 residual positions in UK non-conforming mortgage deals.
Nothing material affected Promise Mobility during the quarter. Its value went from €5m to €5.4m and it generated a coupon of €0.3m.
During the quarter, the value of the residual positions in UK non-conforming mortgage deals went from €0.1m to €4.9m (please refer to details on the reason of such change in the March monthly report). This revision which was considered conservative in the March monthly report proved to be so as one of these 6 positions has been recently sold with a significant gain. Most of these deals are going to pay some cash flows in June. Depending on the level of such payments a revision of their value may be appropriate.
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 or US 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. 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 Company.
Unless stated otherwise, the figures in this Interim Management Statement are as at end of April 2012 as valuations are available only on a monthly basis with some delays. Between the end of April 2012 and 30 May 2012, the date of publication of this Interim Management Statement, the Company is not aware of any significant event, materially affecting the Company's financial position or the Company's controlled undertaking except the €5m gain realized through the sale of one of its positions..
* Index data source: Markit, Bloomberg.
(Full Interim Management Statement attachment on 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 €512 billion in assets under management as of the end of December 2011. AXA IM employs approximately 2,367 people around the world and operates out of 21 countries.
CONTACTS
Company Secretary
State Street (Guernsey) Limited
volta.finance@ais.statestreet.com
+44 (0) 1481 715601
Portfolio Administrator
Deutsche Bank
voltaadmin@list.db.com
For the Investment Manager
AXA Investment Managers Paris
Serge Demay
serge.demay@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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