NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN OR INTO THE UNITED STATES
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Guernsey, 20 July 2012 - 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 website (www.voltafinance.com).
Gross Asset Value
| At 29.06.12 | At 31.05.12 | |
| Gross Asset Value (GAV / € million) | 165.6 | 165.6 |
| GAV per share (€) | 5.30 | 5.30 |
At the end of June 2012, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €165.6 m or €5.30 per share, unchanged from the end of May 2012.
Year to date 2012 performance including dividend payments is + 26.7% for the first 6 months.
The June mark-to-market variations* of Volta Finance's asset classes have been: +7.3% for Synthetic Corporate Credit deals, +1.4% for CLO Equity tranches; +0.4% for CLO Debt tranches, -5.3% for Cash Corporate Credit deals and +0.7% for ABS. The GAV in June was more or less unchanged reflecting a month without significant trend in credit markets except a modest tightening during the last few days of the month.
Volta's assets generated the equivalent of €1.1m cash flows in June 2012 (non-Euro amounts converted to Euro using end-of-month cross currency rates and excluding principal payments from debt assets as well as the gain on the ABS sale) bringing the total cash generated during the last six months to €14.8m. It can be compared with €14.6m for the previous six-month period which ended in December 2011.
In June 2012, the Company purchased 5 assets for the equivalent of €9.6m, 3 BBB tranches of USD CLO (CLOML 2007-1, BallyRock 2006-1, Regatta Funding 2007-1), one short term Synthetic Corporate Equity tranche (Cheyne TRCF) and some shares in a US Mortgage fund (St Bernard Opportunity Fund I).
At the end of June, Volta held €3.6m in cash, including €1.8m posted in respect to the currency hedge transactions and net of the most recent purchases which have not settled yet. Considering the pace at which cash flows are generated, Volta's current capacity for new investments amounts to €3m.
MARKET ENVIRONMENT
In June 2012, credit spreads modestly tightened following the European crisis summit. 5 year European iTraxx index and 5 year iTraxx European Crossover Index (series 17) spreads went respectively, from 180 and 720 bps at the end of May 2012 to 166 and 661 bps at the end of June 2012. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 18), also tightened from 123 to 112 bps at the end of June 2012. According to the CSFB Leverage Loan Index, the average price for USA liquid first lien loans increased from 93.77% at the end of May 2012 to 94.29% at the end of June 2012.**
VOLTA FINANCE PORTFOLIO
In June 2012, no particular event materially affected the situation of the Synthetic Corporate Credit deals. However, the first loss positions in this bucket (ARIA III and the residual positions in JAZZ III) remain highly sensitive to any new credit event, especially to debt of financial institutions considering the significant exposures to banks held through these positions.
Regarding the Cash Corporate Credit Deals, the sole event was concerning Promise Mobility 2006-1. After almost one year of relative calm, some credit events occurred. The cumulative credit events for this deal are now slightly above our initial pricing assumptions for the current period and so far the worked out credit events are showing recoveries below what was originally priced. This asset was already impaired by the Company in July 2011. It represents 2.7% of Volta's end of June GAV.
Regarding the Company's investments in Equity or Debt tranches of CLOs, at the end of June 2012, all 54 positions are currently paying their coupons. No particular event materially affected the situation of these positions.
Regarding the Company's ABS investments, at the end of June 2012, nothing specific affected the 7 positions held by the Company.
The Company considers that opportunities could arise in several structured credit sectors in the current market environment. Amongst others, mezzanine or senior tranches of CLOs, European or US ABS as well as tranches of Cash or Synthetic Corporate Credit portfolios could be considered for investment. Potential investments could be done depending on the pace at which market opportunities could be seized and cash is available. Depending on market opportunities, the Company may aim to take advantage of the current volatility in prices to sell some assets in order to reinvest the sale proceeds on assets representing, at the time of purchase, those which the Company considers a better opportunity.
* "Mark-to-market variation" is calculated as the Dietz-performance of the assets in each bucket, taking into account the Mark-to-Market 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)
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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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