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Volta Finance Ltd. — Interim / Quarterly Report 2011
Nov 28, 2011
9950_ir_2011-11-28_c0d42801-d8df-4a72-bf88-9d231b966f25.pdf
Interim / Quarterly Report
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Contact on the portfolio composition
Volta Admin Team
[email protected]
Volta Finance Limited
Interim Management Statement
At 28 November 2011
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By obtaining access to and reviewing this interim management statement (“IMS”), you acknowledge and agree to be bound by the following:
This IMS does not constitute or form part of any offer or invitation to sell or issue, or any solicitation of any offer to purchase or subscribe for, any shares or other securities of Volta Finance Limited (the “Company”) whose portfolio is managed by AXA Investment Managers Paris (the “Investment Manager”), or securities of any other entity (together, the “Securities”). Nor shall this IMS or any part of it nor the fact of its distribution or publication (on the Company’s website or otherwise) form the basis of, or be relied on in connection with, any contract or investment decision in relation to the Securities. This IMS does not constitute a recommendation regarding the Securities. The information contained herein is for information purposes only, does not purport to contain all the information that may be required to evaluate the Company or any other entity or their respective financial positions. This IMS speaks only as of its date and neither the Company nor the Investment Manager is under any obligation to update the information contained herein. Certain information and estimates contained herein are originated by or derived from third parties and therefore the accuracy and completeness of such information and estimates has not been verified. It should also be noted that the financial information contained herein has not been audited. No representation or warranty whatsoever, whether express or implied, is given by or on behalf of the Company, the Investment Manager, their affiliates, or their respective directors, officers or employees or any other person as to (a) the accuracy or completeness of the information or (b) the opinions contained in this IMS. None of the Company, the Investment Manager, any of their affiliates, or their respective directors, officers or employees or any other person accepts any liability whatsoever for any such information or opinions. Nothing contained herein shall be relied upon as a promise or representation whether as to past or future performance of the Company, any other entity, any Securities or any asset class in the Company’s portfolio. No statement in this IMS is intended to be nor may be construed as a profit forecast and there can be no assurance that the assumptions described herein, the returns and targets (including without limitation target portfolio composition) indicated herein will be achieved. The valuation of financial assets can vary significantly from the prices that the Company could obtain if it sought to liquidate the positions due to market conditions and general economic environment. Such valuations do not constitute a fairness or similar opinion and should not be regarded as such. They follow the valuation policy of the Company as adapted from time to time in the best interests of the shareholders, taking into account the evolutions and the illiquidity of financial markets.
1
Contact on the portfolio composition Volta Admin Team [email protected]
Comment
Dear Shareholders and Investors,
Over the quarter, from the end of July 2011 to the end of October 2011, the Gross Asset Value (the “GAV”) of Volta Finance Limited (the “Company” or “Volta Finance” or “Volta”) went from €145.3m or €4.72 per share, to €134.4m or €4.36 per share.
During the same period, the Company settled the €5m investment committed at the end of July in one Corporate Credit deal, took the opportunity of a widening of discount margins to purchase eight assets (5 tranches of CLO and 3 Corporate Credit deals) for €8.4m and sold one lower yielding tranche of CLO for €1.3m.
During the quarter, cash flows generated by the Company’s assets, excluding asset sales and principal payments from assets, amounted to €8.9m (non euro amounts being translated in euro using end of month currency rate). This amount could be compared to €7.1m for the most recent comparable 3-month period (from the end of January 2011 to the end of April 2011). The cash generated by the assets, during the quarter under review, is rather significant, close to an annual rate of 26% of Volta’s asset valuation, excluding cash, at the beginning of the period (€137.2m).
As a consequence of the investments and sales made during this period and after taking into account the settlement of some expenses, the cash position in the Company’s accounts went from €8.1m at the end of July 2011 to €3.5m at the end of October 2011. This latest amount excluded €0.8m received for margin calls linked to the currency hedge strategy of the Company. Since the end of October 2011 as a result of some further coupon payments and one investment of €1m, the cash position in the Company has increased to €4.4m at the time of writing.
The decrease in the GAV during the quarter is mainly due to increases in discount margins attached to structured credit products in conjunction with the significant widening of corporate credit spreads. Overall, the decrease in GAV during the 3-month period, bearing in mind the deepening of the euro sovereign crisis and the sharp downward revision in expected growth for OECD economies, could be considered as modest considering the highly leveraged exposure of the Company to underlying credit exposures.
At the time of publishing this statement, 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 fully invested.
MARKET ENVIRONMENT AND LATEST DEVELOPMENTS
From the end of July 2011 to the end of October 2011, the 5y European iTraxx index (series 15) and the 5y iTraxx European Crossover index (series 15) widened significantly from respectively 117 and 438 bps to respectively 160 and 598 bps. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 16), increased from 95 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, significantly declined from 94.89% to 92.44%.*
2
Contact on the portfolio composition Volta Admin Team [email protected]
Comment (continued)
VOLTA FINANCE PORTFOLIO
Corporate Credit
Over the quarter, no event of default materially affected the situation of the Corporate Credit holdings. However it should be mentioned that the firstloss positions in Jazz III and ARIA III remain highly sensitive to any credit event that could occur. Considering current market focus, it should be remembered that the first-loss positions in Jazz III and ARIA III are exposed, through CDS, to Republic of Greece for the same percentage (0.5% of their underlying portfolio) and to Seat Pagine Gialle. This last name represents 0.2% of Aria III’s portfolio and 0.85% of Jazz III’s portfolio and seems to have some difficulties refinancing its debt. If such a position was to default it will have a very limited impact on Volta’s GAV as it is almost fully priced in at the end of October. 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. In fact, ARIA III’s underlying portfolio had recorded no default for the last 3 years (since the Lehman default in September 2008).
Over the quarter, with the deepening of the euro sovereign crisis and the significant widening in corporate credit spreads to which these Corporate Credit positions are highly leveraged, the value of these two first loss positions went from €11m to €7.4m. However they generated €2.5m of interests or coupons during the quarter.
The Corporate Credit holdings that were all together valued at €22.7m at the end of July 2011 generated the equivalent of €2.6m of cash flows during the quarter and were valued at €27.8m as at the end of October 2011 (including €10.3m for the 4 assets settled or purchased during the quarter).
CDO
This bucket that accounted, at the end of July 2011 for 75.3% of the GAV, is composed of residual and mezzanine debt tranches of CLOs. During the quarter, defaults and downgrades in the underlying loan portfolios continued to occur, albeit at a slower pace than in the more recent quarters. On average over-collateralization tests and residual payments of these structures have improved during this quarter relative to the previous one.
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 positions.
3
Contact on the portfolio composition Volta Admin Team [email protected]
Comment (continued)
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), totaling the equivalent of €99.5m of principal amount, were valued at an average price of 59% of par; the 12 classic residual tranches of CLOs, totaling the equivalent of €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 €10.8m of principal amount, was valued at 82% of par.
The positions in mezzanine debt of CLOs and in residual tranches of CLOs have respectively generated the equivalent of €1.2m and €3.6m of interest or coupons during the quarter.
ABS
Promise Mobility, a residual position on a very largely diversified portfolio of small and medium German companies was representing, at the end of October 2011, 96% of this asset class. Over the quarter, nothing special affected this main position but the other investments in this bucket (6 UK non-conforming residual positions) generated €1m of cash flows from an end of July conservative valuation of €0.3m. These cash flows are due to payments of arrears at the underlying mortgages level that are particularly difficult to foresee. These 6 positions were still conservatively valued at €0.2m as of the end of October.
Promise Mobility, which was valued at €4.8m at the end of July 2011, has generated €0.4m of cash flows during the quarter and is valued at €4.9m at the end of October 2011.
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 Company.
4
Contact on the portfolio composition Volta Admin Team [email protected]
Comment (continued)
Unless stated otherwise, the figures in this Interim Management Statement are as at end of October 2011 as valuations are available only on a monthly basis with some delays. Between the end of October 2011 and 25 November 2011, 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.
- Index data source: Markit, Bloomberg.
**
This document 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 document 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 document 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.
5
Gross Asset Value
Contact on the portfolio composition Volta Admin Team [email protected]
At 31.10.11 At 29.07.11 Note Gross Asset Value 134.4 145,3 (GAV – € million) GAV per Share (€) 4.36 4.72 30 801 248 outstanding shares GAV and Share Price History Volta Finance Limited Share Price GAV / Share (source: www.euronext.com) (source: www.voltafinance.com) 11 10 9 8 7 6 5 4 3 2 1 0
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Generation of interests or coupons
Contact on the portfolio composition Volta Admin Team [email protected]
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6-month rolling amount (in €) of interest or coupons generated by Volta's
assets over the last two years (excluding principal payments)
16 000 000
All assets
14 000 000 Residual of CLO
Corp Credit
CLO Debt
12 000 000
ABS
10 000 000
8 000 000
6 000 000
4 000 000
2 000 00 0
0
nov-09déc-09janv-10févr-10mars-10avr-10mai-10juin-10juil-10août-10sept-10oct-10nov-10déc-10janv-11févr-11mars-11avr-11mai-11juin-11juil-11août-11sept-11oct-11
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Contact on the portfolio composition Volta Admin Team [email protected]
Portfolio Composition
Breakdown by Primary Target Asset Class
**Breakdown by Geography ***
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CASH others
Corporate
ABS
Credits
Europe
CDO Equities
Non-UK
USA
CDO Debts
UK
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| Asset class | At 31.10.11 (€ million) |
At 29.07.11 (€ million) |
|---|---|---|
| Corporate Credits | 27.8 | 22.7 |
| CDO Debts | 58.9 | 66.8 |
| CDO Equities | 39.1 | 42.6 |
| Asset Backed Securities | 5.1 | 5.1 |
| Cash | 3.5 | 8.1 |
| Region | At 31.10.11 (€ million) |
At 29.07.11 (€ million) |
|---|---|---|
| Europe non-UK | 57.5 | 60.1 |
| UK | 1.4 | 1.5 |
| USA | 70.4 | 77.2 |
| Others | 5.1 | 5.6 |
* Look through. Includes the geographic exposure gained through the underlying portfolio of Jazz III, Aria II and Aria III. Does not include cash.
8
Volta Finance Portfolio Holdings: Complete List
Contact on the portfolio composition Volta Admin Team [email protected]
| Issuer | % GAV | Primary target asset class |
Description of investment |
Description of underlying asset |
Manager/Servicer | Principal geographical exposure |
ISIN | Arranging Institution |
|---|---|---|---|---|---|---|---|---|
| TENNENBAUM OPPORTUNITIES FUND V |
6,57 | CDO | Residual of CLO | High yield bonds and loans | Tennenbaum Capital Partners, LLC |
USA | NA | Wachovia Bank, N.A. |
| JAZZ III CDO – AB - Junior AAA debt |
5,48 | Corporate Credit | Mezzanine debt of Corporate CDO |
Majority investment grade corporate credit |
Axa Investment Managers Paris |
USA | US47215CAB19 | Merrill Lynch International |
| ARIA CDO III (tranche 0%-3%) | 3,90 | Corporate Credit | Bespoke CDO tranche |
Majority investment grade corporate credit |
Axa Investment Managers Paris |
USA | XS0375442307 | JP Morgan |
| Bank Capital Opportunity Fund | 3,71 | Corporate Credit | Mezzanine Tranche of CSO |
Majority investment grade corporate credit |
Axa Investment Managers Paris |
Europe non-UK | AXA IMP | |
| PROMISE MOBILITY 2006-1 | 3,65 | ABS | Residual of ABS | German SME first loss | IKB | Europe non-UK | NA | Deutsche Bank |
| NORTHWOODS CAPITAL LIMITED | 3,20 | CDO | Residual of CLO | Broadly syndicated loans | Angelo Gordon | USA | USG6666RAB18 | JP Morgan |
| BATALLION CLO LT- EQUITY | 2,99 | CDO | Residual of CLO | Broadly syndicated loans | Brigade Capital Management |
USA | USG08887AA27 | Deutsche Bank |
| MCDONNELL LOAN OPPORTUNITY LTD |
2,84 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | McDonnell Investment Mgt LLC |
USA |
USG6016MAA11 | Deutsche Bank |
| GOLDEN TREE LOAN OPPORTUNITIES |
2,80 | CDO | Residual of CLO | Broadly syndicated loans | Golden Tree | USA | USG39607AC37 | Deutsche Bank |
| BATALLION CLO LTD – E - BB debt | 2,59 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Brigade Capital Management |
USA | USG08889AF79 | Deutsche Bank |
| WASATCH CLO LTD | 2,56 | CDO | Residual of CLO | Broadly syndicated loans | Invesco | USA | USG94608AB57 | JP Morgan |
| Boyne Valley 1X – C1 - A debt | 2,21 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | GSO Blackstone | Europe non-UK | XS0235642971 | JP Morgan |
| CHEYNE CREDIT OPP. DO – BBB debt |
2,21 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Nomura | Europe non-UK | XS0243225728 | Cheyne Capital Management Ltd |
| ADAGIO III CLO – E -BB debt | 2,17 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Axa Investment Managers Paris |
Europe non-UK | XS0262683971 | Lehman Brothers |
| SANDS POINT FUNDING LTD | 1,92 | CDO | Residual of CLO | Middle market loans | Guggenheim | USA | USG7800DAA93 | Deutsche Bank |
| Cadenza | 1,88 | Corporate Credit | Mezzanine Tranche of CSO |
Majority investment grade corporate credit |
Axa Investment Managers Paris |
Europe non-UK | XS0287257280 | UBS |
| LIGHTPOINT CLO V, LTD | 1,81 | CDO | Residual of CLO | Broadly syndicated loans | Lightpoint | USA | USG5487GAG31 | Credit Suisse |
| ICE 1 Emerg CLO- A3 – AA Debt | 1,80 | CDO | Mezzanine debt of CLO |
Emerging Debt | ICE Canyon LLC | Other | USG4746PAD09 | CitiGroup |
| Madison Park Funding E - BB debt | 1,78 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Credit Suisse Alternative Capital |
USA | USG5744QAA34 | Merrill Lynch |
| OAK HILL EUROPEAN CREDIT PARTNERS PLC |
1,76 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Oak Hill | Europe non-UK | XS0300349379 | Deutsche Bank |
| JAZZ III CDO (IRELAND) P.L.C. | 1,64 | Corporate Credit | Residual of Corporate CDO |
Majority investment grade corporate credit |
Axa Investment Managers Paris |
USA | XS0263617374 / XS0263615675 |
Merrill Lynch International |
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Volta Finance Portfolio Holdings: Complete List (ctd.)
Contact on the portfolio composition Volta Admin Team [email protected]
| Issuer | % GAV | Primary target asset class |
Description of investment |
Description of underlying asset |
Manager/Servicer | Principal geographical exposure |
ISIN | Arranging Institution |
|---|---|---|---|---|---|---|---|---|
| PGAEA 2007 - 1A - AAA Debt | 1,63 | CDO | Mezzanine debt of CDO |
European ABS | Investec | EUR | XS0287257280 | Bear Stearns |
| GALAXY VII CLO LTD | 1,57 | CDO | Residual of CLO | Broadly syndicated loans | AIG | USA | USG25796AB20 | Morgan Stanley |
| LIGHTPOINT PAN EUROPEAN CLO PLC |
1,56 | CDO | Residual of CLO | Broadly syndicated loans | Lightpoint | Europe | XS0282169803 | Credit Suisse |
| Dryden XVII - Junior AAA Debt | 1,55 | Corporate Credit | Senior Tranche of CSO |
Majority investment grade corporate credit |
Prudential IM | USA | USG7546RAP40 | UBS |
| ORYX 1X – D – BBB Debt | 1,46 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | AXA IM | Europe non-UK | XS0230415373 | UBS |
| Limerock 1A – D –BB Debt | 1,37 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Invesco | USA | US532623AH83 | Credit Suisse |
| LightPoint CLO V – C – BBB Debt | 1,36 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Lightpoint | USA | USG5487GAD00 | Credit Suisse |
| Start 2010-6X A | 1,32 | Corporate Credit | Mezzanine Tranche of CSO |
Majority investment grade corporate credit |
Standard Chartered | USA | XS0562803758 | Standard Chartered |
| BATALLION CLO LTD – D - BBB debt |
1,32 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Brigade Capital Management |
USA | US071322AE14 | Deutsche Bank |
| DUANE STREET CLO – D1 - BBB debt |
1,22 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Dimaio Capital | USA | US26358BAL27 | Morgan Stanley |
| PRELUDE | 1,19 | CDO | Residual of CLO | Broadly syndicated loans | AXA IM Paris | USA | XS0213954802 | Wachovia Bank N.A. |
| Centurion 10 – E - BB debt | 1,19 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | River Source Investments LLC |
USA | US15132PAA12 | Morgan Stanley |
| OAK HILL EUROPEAN CREDIT PARTNERS PLC |
1,16 | CDO | Residual of CLO | Broadly syndicated loans | Oak Hill | Europe non-UK | XS0300349700 | Deutsche Bank |
| SIERA 2006-2X - B2L - BB Debt | 1,15 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Apidos Capital Management |
USA | XS0276546065 | Bear Stearns |
| LAURELIN – D1 – BBB debt | 1,15 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Golden Tree Asset Management LP |
Europe non-UK | XS0305010711 | Barclays Capital |
| Tara Hill 1X - III - BBB Debt | 1,10 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | GSO Blackstone | Europe non-UK | XS0122499931 | Morgan Stanley |
| CARLYLE HY PART IX | 1,07 | CDO | Residual of CLO | Broadly syndicated loans | Carlyle | USA | KYG1908R1048 | Lehman Brothers |
| LFE IV – S4 – BBB-Debt | 1,04 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | BNP Paribas | Europe non-UK | XS0269248398 | BNP Paribas |
| Harvest IV – C - A debt | 0,97 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Mizuho Corporate Bank | Europe non-UK | XS0189775249 | Merrill Lynch |
| H1776 CLO – D - BBB debt | 0,92 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | W.R.Huff Asset Management |
USA | US81806PAE07 | Lehman Brothers |
| Clare Island 1X IV - B - BB debt | 0,90 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | GSO Blackstone | Europe non-UK | XS0143896875 | Morgan Stanley |
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Volta Finance Portfolio Holdings: Complete List (ctd.)
Contact on the portfolio composition Volta Admin Team [email protected]
| Issuer | % GAV | Primary target asset class |
Description of investment |
Description of underlying asset |
Manager/Servicer | Principal geographical exposure |
ISIN | Arranging Institution |
|---|---|---|---|---|---|---|---|---|
| Black Diamond 2006 1X - E - BB Debt |
0,87 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Black Diamond Capital Management LLC |
USA | XS0282504280 | Bear Stearns |
| Apidos 2006 3 – C – BBB debt | 0,84 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Apidos Capital Management |
USA | US03761KAG31 | Morgan Stanley |
| ADAGIO III CLO – C - A debt | 0,84 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Axa Investment Managers Paris |
Europe non-UK | XS0262682148 | Lehman Brothers |
| EURO GALAXY CLO BV – E – BB debt |
0,80 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | AIG Global Investments | Europe non-UK | US29871UAG31 | Morgan Stanley |
| Corsair 06/30/2015 | 0,76 | Corporate Credit | Mezzanine Tranche of CSO |
Majority investment grade corporate credit |
JP Morgan | USA | XS0280348573 | JP Morgan |
| ALPSTAR CLO 2 PLC – E - BB debt | 0,70 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Alpstar Management | Europe non-UK | XS0291723079 | Bank of America |
| ADAGIO II CLO – D1 - BBB debt | 0,60 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Axa Investment Managers Paris |
Europe non-UK | XS0237058424 | Merrill Lynch International |
| GALAXY VIII CLO LTD – E – BB Debt |
0,57 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | AIG | USA | US36317KAA51 | Morgan Stanley |
| Tara Hill 1X - IV - BB- Debt | 0,56 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | AIB Capital Markets plc | Europe non-UK | XS0122500027 | Morgan Stanley |
| Skellig Rock 2006 1X - C - A Debt | 0,50 | CDO | Mezzanine debt of CDO |
Broadly syndicated loans | GSO Blackstone | EUR | XS0273474444 | JP Morgan |
| Apidos CDO - E - BB Debt | 0,49 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Apidos Capital Management |
USA | US03761NAA00 | Morgan Stanley |
| Black Rock SISC 2004-1A - D1 - BB | 0,45 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | BlackRock | USA | US09249DAA19 | JP Morgan |
| JAZZ III CDO (IRELAND) P.L.C. – CA - A debt |
0,41 | Corporate Credit | Mezzanine debt of Corporate CDO |
Majority investment grade corporate credit |
AXA Investment Managers Paris |
USA |
XS0262646697 | Merrill Lynch International |
| ATRIUM CDO – D1 - BB Debt | 0,41 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | CSAS | USA | US049629AF50 | CSFB |
| Century CDO 2007 – C - BBB Debt | 0,40 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Lightpoint | USA | US15134UAA88 | Credit Suisse |
| Regent Park 1X - E - BB | 0,39 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | GSO Blackstone | EUR | XS0268111126 | JP Morgan |
| COLTS 2007 1 - D - BBB Debt | 0,29 | CDO | Mezzanine debt of CLO |
Middle Market loans | Structured Asset Investors, LLC |
USA | USG23108AD83 | Wachovia Bank N.A. |
| Denali Capital VI | 0,29 | CDO | Residual of CLO | Broadly syndicated loans | Denali Capital LLC | USA | US24821MAB46 | JP Morgan |
| Octagon IP XI – D - BB debt | 0,27 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | Octagon Investment Partners |
USA | USG67245AF09 | Citigroup / GS |
| Leopard CLO BV – BB Debt | 0,22 | CDO | Mezzanine debt of CLO |
Broadly syndicated loans | M&G Investment Management Ltd |
Europe non-UK | XS0251752472 | RBS |
| BLACK DIAMOND CLO LTD - 2005- 2X E1 |
0,19 | CDO | Mezzanine debt of Corporate CDO |
Broadly syndicated loans | Black Diamond Capital Management LLC |
USA | XS0232465202 | Bear Stearns |
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Contact on the portfolio composition Volta Admin Team [email protected]
Volta Finance Portfolio Holdings: Complete List (ctd.)
| Issuer | % GAV | Primary target asset class |
Description of investment |
Description of underlying asset |
Manager/Servicer | Principal geographical exposure |
ISIN | Arranging Institution |
| EUROSAIL 2006-1 PLC | 0,11 | ABS | Residual of ABS | UK non-conforming RMBS | SPML | United Kingdom | NA | Lehman Brothers |
| ALBA 2007-1 PLC | 0,02 | ABS | Residual of ABS | UK non-conforming RMBS | Oakwood | United Kingdom | NA | Credit Suisse |
| ALBA 2006-2 PLC | 0,01 | ABS | Residual of ABS | UK non-conforming RMBS | Oakwood | United Kingdom | NA | Credit Suisse |
| ALBA 2006-1 PLC | 0,01 | ABS | Residual of ABS | UK non-conforming RMBS | Oakwood | United Kingdom | NA | Credit Suisse |
| RMAC 2007-NS1 | 0,00 | ABS | Residual of ABS | UK non-conforming RMBS | GMAC-RFC | United Kingdom | NA | HSBC - RBS |
| NEWGATE FUNDING PLC 2006-2 | 0,00 | ABS | Residual of ABS | UK non-conforming RMBS | Mortgage Plc | United Kingdom | NA | Merrill Lynch International |
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Contact on the portfolio composition Volta Admin Team [email protected]
Asset Class Analysis
| Asset Class | Number of Positions at 31/10/11 |
Average Position Size (K€) at 31/10/11 |
|---|---|---|
| Corporate Credit | 9 | 3,085 |
| CDO Debt | 40 | 1,472 |
| CDO Equity | 13 | 3,009 |
| ABS | 7 | 728 |
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Contact on the portfolio composition Volta Admin Team [email protected]
About Volta Finance Ltd
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 multiasset 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.
Asset-Backed Securities Corporate Credits The Company's initial focus in this area is on residual income positions of assetInvestment grade, sub-investment grade and unrated credits. These may include backed securities, although the Company may also invest in debt tranches of ABS. industrial companies as well as financial institutions (such as banks), among others. The Company uses the term ""corporate credits'' to refer both to cash obligations (bonds or loans) of corporate or other commercial borrowers and to synthetic arrangements (such as credit default swaps) referencing these entities. CDOs The Company's focus in this area is on acquiring or creating leveraged exposure to The Company intends to invest in the securities of collateralised debt obligations, diversified portfolios of these credits (e.g., through bespoke collateralised swap collateralised loan obligations (CLO), collateralised synthetic obligations and similar obligations ("CSOs'')). The Company includes in this Primary Target Asset Class leveraged investment vehicles (collectively "CDOs''). cash and synthetic CDOs/CSOs that have corporate credits a majority of which are investment grade. The Company's focus in this Primary Target Asset Class is through residual income or mezzanine debt positions of CLOs actively managed.
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