NOT FOR RELEASE, DISTRIBUTION OR PUBLICATION, IN WHOLE OR IN PART, IN
OR INTO THE UNITED STATES
***
Guernsey, 16 November 2007 - Volta Finance Limited (the "Company" or
"Volta Finance") has published its October monthly report. The full
report is attached to this release and is available on Volta Finance
Limited's financial website (www.voltafinance.com). As of October
2007, Volta Finance Limited's Gross Asset Value per share was ¤9.13,
up 2.2% from 28 September 2007.
Gross Asset Value
+---------------------------------------------------------+
| | At 31.10.07 | At 28.09.07 |
|-----------------------------+-------------+-------------|
| Gross Asset Value (GAV - ¤) | 274,003,155 | 267,949,590 |
|-----------------------------+-------------+-------------|
| GAV per share (¤) | 9.13 | 8.93 |
+---------------------------------------------------------+
Volta Finance Limited wishes to take the opportunity of the
publication of the October monthly report to comment on the October
market conditions and their impact on the Gross Asset Value (the
"GAV") of the Company, which is up 2.2% from end September to end
October 2007. This is also an opportunity to emphasise the absence of
impairment at the end of October on any of the assets held by Volta
Finance on the basis of our current knowledge.
MARKET ENVIRONMENT*
The first three weeks of October were reminiscent of the previous
month, with relatively stable corporate credit and leveraged loan
markets. This relative tranquillity was shaken by the series of
negative results from US and European banks, as well as by the
announcement of RMBS downgrade moves by various ratings agencies in
line with the confirmation of effective increases in delinquency and
losses. Write-downs on structured finance assets generally linked to
subprime mortgage holdings reignited concerns about the banking
sector and an acceleration of the current credit tightening. Warning
of more pain to come in the coming quarters by some banks did nothing
to soothe market fears. As a result, financial markets underwent
significant volatility in the last days of October and into November.
As shown by various key economic indicators (e.g. GDP, exports,
employment, vehicle sales), the overall US economy has so far
remained relatively unaffected by the housing industry woes and the
related credit tightening. In a bid to avoid a contagion of the
financial sector ills to the economy at large, the Federal Reserve
lowered the federal funds rate one quarter point to 4.50% after a
previous half-point cut. Along its rate cut, the Fed adopted a
neutral stance, indicating that it was concerned both about the
upside risk to inflation and the downside risk to growth. After 75
basis points of pre-emptive cut, signs have started to point towards
a limited probability for a further round of cuts. This has unnerved
the markets, which had so far banked on more rate cuts given the
contagion potential of the housing crisis.
Corporate credit markets in October were relatively stable, but
showed signs of volatility towards the end of the month when
financials came under pressure after the worst-than-expected
write-down announcements. As a consequence, the first days of trading
in November generally had a significant widening effect on spreads.
From the end of September to the end of October, the 5y European
iTraxx index (series 8) remained relatively stable at 37.2 at the end
of the month, while its Crossover counterpart (5y iTraxx European
Crossover index series 8) also remained relatively stable at 322.340
at the end of the month. In the US, the 5y CDX index (series 9)
widened over 4 bps to 60.29 bps and the 5y CDX Crossover index
(series 9) remained relatively stable at 211.660 at the end of the
month.
The leveraged loans European 5y LevX index (senior series 1)
continued to rise in October, gaining approximately 0.5 from its end
of September level to 98.32 at the end of October. According to
various reports, the backlog of leveraged loans has barely budged in
October and arrangers have continued to seek to restructure deals
that would appeal to a wider investor base in a bid to lighten their
balance sheet. However, CLO liquidity, which has been severely
reduced following the decline in risk appetite from structured
finance investors, has yet to return to the market. This remains a
significant hurdle for a take-off of the primary leveraged loan
market.
The mark-to-market value of structured finance assets such as CDOs
and ABS has continued to remain under pressure. Large investors which
had so far fuelled buy-side activity such as Structured Investment
Vehicles (SIV) and hedge funds, have continued to experience
financing difficulties in October, a direct consequence of the
ongoing credit tightening and the wave of downgrades in the US RMBS
sector, ultimately leading to a drop in value of some structured
finance assets. The average net asset value of SIV, which borrow
short-term through commercial paper in order to invest long-term in a
wide range of assets including structured finance assets, continued
to drop in October, according to ratings agency Fitch. An increase in
proven delinquency rates in US RMBS is leading some SIV to unwind,
driving the market value of all assets to lower ground even if they
have nothing to do with US-RMBS.
VOLTA FINANCE PORTFOLIO
The overall GAV of Volta Finance increased approximately 2.2% from
the end of September to the end of October 2007, mainly driven by the
good mark-to-market performance of the leveraged loan TRS.
As of the end of October, the expected cash flows of all the assets
held by Volta Finance remain in line with what was expected at their
purchase.
Corporate credit
The mark-to-market variation** of Volta Finance's corporate credit
investments has been +1.71% in October
Leveraged loans
The mark-to-market variation of Volta Finance's leveraged loan TRS
has been +8.8% in October
ABS
The mark-to-market variation of Volta Finance's ABS investments has
been +0.36% in October
CDO
The mark-to-market variation of Volta Finance's CDO investments has
been -0.6% in October
Financial Calendar and Dividend
On 18 October 2007, the Company announced a recommended dividend of
¤0.35 per share. Once approved by Volta Finance's shareholders at the
Annual General Meeting held in Guernsey on 20 November 2007, the
dividend will be paid on 27 November 2007. The ex-dividend and record
dates have been set respectively on 21 November 2007 and 23 November
2007.
* Index data source: Bloomberg
** "Mark-to-Market (MtM) Variation" is calculated as the change in
the mark-to-market value of the bucket, including: 1) the MtM
variation of the assets over the period; 2) the payments received
from the assets over the period; 3) the MtM variation of the hedging
instruments over the period;
(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. Volta Finance's basic
approach to its underlying assets is through vehicles and
arrangements that provide leveraged exposure. The exposure to those
underlying assets is gained through direct and indirect investment in
five principal asset classes: corporate credits, CDOs, ABS, leveraged
loans, and infrastructure assets.
Volta Finance 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 ¤550 billion in assets under management as of the
end of March 2007. AXA IM employs approximately 2,800 people around
the world and operates out of 19 countries.
CONTACTS
Company Secretary
Mourant Guernsey Limited
volta.finance@mourant.com
+44 (0) 1481 715601
Porfolio Administrator
Deutsche Bank
voltaadmin@list.db.com
For the Investment Manager
AXA Investment Managers Paris
Julien Laplante
julien.laplante@axa-im.com
+33 (0) 1 44 45 94 92
***
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.
***
