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Volta Finance Ltd. — Interim / Quarterly Report 2015
Dec 18, 2015
9950_ir_2015-12-18_77dcbba1-e215-45d5-9234-5d2c37bded84.pdf
Interim / Quarterly Report
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Contact on the portfolio composition
Volta Admin Team [email protected]
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Interim Management Statement At 30 October 2015
By obtaining access to and reviewing this monthly report, you acknowledge and agree to be bound by the following:
This monthly report 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 monthly report 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 monthly report 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 monthly report 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 monthly report. 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 monthly report 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.
Comment
Dear Shareholders and Investors,
PERFORMANCE
During the quarter, from the end of July 2015 to the end of October 2015, the Estimated NAV of Volta Finance Limited (the “Company”, “Volta Finance” or “Volta”) went from €299.9m or €8.21 per share to €293.3m or €8.03 per share, a decrease of €0.18 per share, or -2.2%.
The YTD NAV performance for the 2015 calendar year, including the April dividend paid, stood at +8.7% as at the end of October.
The GAV stood at €338.8m at the end of October against €330.2 at the end of July 2015. The GAV increased by €8.6m since the end of July, despite the decrease in Estimated NAV during the period, as Volta has borrowed a further USD15m under its repurchase agreement.
MARKET REVIEW AND PORTFOLIO ACTIVITY
During the quarter, credit markets suffered as illustrated by the widening of spread in most of credit markets, particularly the US loan market.
The impact was relatively modest for Volta thanks to the relatively defensive positioning of Volta (we maintained in the book a significant portion of assets, the transactions issued prior 2008, that have a low sensitivity to this kind of market stress).
During the Quarter, Volta purchased or entered into the following transactions:
-
a new european warehouse for €15.5m;
-
a new bank balance sheet transaction for USD3m;
-
a USD CLO equity tranche at discount in the secondary market (USD3m par amount);
-
3 BB rated debt tranches of US CLO (USD11m par amount); and,
-
a further USD4m was invested in the St Bernard fund.
One BBB USD CLO tranche and one USD CLO Equity tranche were reimbursed during the quarter.
During the quarter, Volta received the equivalent of €5.5m of interest and coupons (non-Euro amounts translated into Euro using end-of-month cross currency rates). Cash or cash equivalent instruments, at the end of October, after settlement of the most recent purchases, was at €21.7m. Considering the December dividend payment, Volta could be considered as having approximatively €6m to deploy as at the end of October.
Comment (continued)
Through the quarter, we took the opportunity of the widening in CLO debt tranches to purchase some recent tranches (having longer duration hence being more sensitive to spread widening) to replace some short-term instruments (some old debt tranches of CLOs mainly) that are less affected by the kind of volatility that was observed in August and September. We intend to continue rotating the portfolio from these old debt assets into more sensitive assets that could be purchased at a lower price/ higher discount margin in current market circumstances.
We continue to see opportunities in several structured credit sectors including mezzanine or equity tranches of CLOs, RMBS tranches as well as tranches of Cash or Synthetic Corporate Credit portfolios.
Estimated Net Asset Value
| At 31.07.15 | At 30.10.15 |
Note |
|---|---|---|
| Gross Asset Value (GAV – € million) 330.2 |
338.8 | In March 2015 Volta entered into a Repurchase Agreement creating a significant amount of liability. From end of March 2015, GAV is the sum of all assets including cash. The net value of the Company for shareholders is given by the Estimated NAV (liabilities are subtracted from GAV) |
| Liabilities (€m) 30.3 |
45.5 | |
| Estimated NAV (€m) / per Share (€) 299.9 / 8.21 |
293.3 / 8.03 |
36,510,611 outstanding shares |
Estimated NAV and Share Price History
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Volta Finance Limited
Since Inception
Share Price NAV per 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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Volta Finance Limited
Last 2 Years
Share Price NAV per Share
(source: www.euronext.com) (source: www.voltafinance.com)
9,0
8,0
7,0
6,0
5,0
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Contact on the portfolio composition
Volta Admin Team [email protected]
Portfolio Com osition p
| voltafina | |||||
|---|---|---|---|---|---|
| Market Value(€m) | Breakdown of Gross Asset Value(% GAV) | Average Price | Nominal Amount*(€m) |
||
| CLO | 245,8 | USD CLO Equity | 13,6% | 59% | 46,1 |
| USD CLO Debt | 36,6% | 89% | 139,9 | ||
| EUR CLO Equity | 4,5% | 79% | 30,6 | ||
| EUR CLO Debt | 13,3% | 92% | 49,0 | ||
| CLO Warehouse | 4,6% | not relevant | - | ||
| Synthetic Corporate Credit |
33,8 | Synthetic Corporate Credit Equity | 0,0% | - | |
| Bank Balance Sheet Transactions | 10,0% | 97% | 34,9 | ||
| Cash Corporate Credit |
15,2 | Cash Corporate Credit Equity | 3,3% | 57,1% | 11,6 |
| Cash Corporate Credit Debt | 1,2% | 88,3% | 4,5 | ||
| ABS | 23,1 | Mortgage Residual Positions | 5,5% | not relevant | 18,6 |
| ABS Debt | 1,3% | not relevant | 4,5 | ||
| Cash or equivalent | 21,0 |
Cash or equivalent | 6,2% | 21,0 | |
| GAV | 338,9 | 360,7 | |||
| Liability | 41,0 - |
Debt from Repurchase Agreement | -12,1% | ||
| Fees due | 4,6 - |
Fees due to Investment Manager | -1,3% | ||
| Estimated NAV | **293,3 ** | Per Share | 8,03 | ||
| * Nominal amount equal market value for funds, ABS Residual positions and CLO Equity positions, par amount for debt assets |
| CurrencyExposures | CurrencyExposures | in CCY (m) | % NAV |
|---|---|---|---|
| Euro Assets (EURm) | 110,4 | 37,6% | |
| Exposure to Euro(includingUSD/Euro hedge) | 52,1% | ||
| USD Assets (USDm) | 175,7 | 54,4% | |
| USD Forward Sales | 73,0 | ||
| USD Call **(42% Delta) | 63,0 | ||
| Residual exposure to USD(in USDm | ) 129,1 |
40,0% | |
| GBP Assets(GBPm) | 11,7 | 5,6% | |
| CHF Assets(CHFm) | 7,4 | 2,3% | |
| **USDCalls are purchased toreducemarging calls onthe USD forward sales |
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Others 7,0%
Cash Corporate Credit
Cash or equivalent 6,2%
Equity 3,3%
CLO Warehouse 4,6%
USD CLO Debt 36,6%
Bank Balance Sheet
Transactions 10,0%
Mortgage Residual
Positions 5,5%
EUR CLO Debt 13,3%
USD CLO Equity 13,6%
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Volta share performance relative to large equity indexes (1 year)
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Past performance is not indicative or constitutes a representation or guarantee as to future results or performance
Volta share performance relative to most direct peers (1 year)
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Past performance is not indicative or constitutes a representation or guarantee as to future results or performance
6-month rolling Interest and Coupons per asset class
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6-month rolling amount of Interest and Coupons
over the last 3 years
18 000 000
16 000 000
14 000 000
Total Assets
12 000 000
CLO Residual
Synth Corp Credit
10 000 000
CLO Debts
8 000 000 ABS
Cash Corp Credit
6 000 000
4 000 000
2 000 000
0
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Volta Finance Portfolio Holdings: Complete List
| Issuer | % GAV | Main Asset Class |
Sub Classificatio n |
Description of underlying asset |
Manager/Servicer | Principal geographic exposure |
ISIN | Arranging Institution |
Vintage |
|---|---|---|---|---|---|---|---|---|---|
| CVC Warehouse | 4,58 | CLO | Warehouse | Broadly syndicated loans | CVC Credit Partners | Europe | na | Credit Suisse | 2015 |
| Bank Deleveraging Opportunity Fund | 4,51 | Synthetic Corporate |
Bank Balance Sheet |
Majority investment grade corporate credit |
Axa Investment ManagersParis |
Europe non- UK |
FR0011525724 | AXA IMP | na |
| Wasatch CLO 2006-1 Sub | 2,59 | CLO | Equity | Broadly syndicated loans |
Invesco | USA | USG94608AB57 | JP Morgan | 2006 |
| Black Diamond 2013-1 Sub | 2,56 | CLO | Equity | Broadly syndicated loans | Black Diamond Capital Management |
USA | USG11476AB76 | Natixis | 2013 |
| Acas CLO 2014-1 E - BB Debt | 2,41 | CLO | Debt | Broadly syndicated loans | ACAM |
USA | USG00673AA48 | Deutsche Bank | 2014 |
| St Bernard Opportunity Fund | 2,39 | ABS | Debt (Fund) | US Mortgages | Axa Investment ManagersParis |
USA | QS0002021030 | NA | 2008 |
| Black Diamond 2006 1 E - BB debt | 2,22 | CLO | Debt | Broadly syndicated loans | Black Diamond Capital Management |
USA | XS0282504280 | Bear Stearns | 2006 |
| CIFC 2007-3 D - BB Debt | 2,19 | CLO | Debt | Broadly syndicated loans | CIFC |
USA | USG2189NAA93 | JP Morgan | 2007 |
| TENNENBAUM OPPORTUNITIES FUND V | 2,22 | Cash Corporate |
Equity (Fund) | High yield bonds and loans |
Tennenbaum Capital Partners LLC |
USA | TOF5 | Wachovia Bank, N.A. |
2006 |
| Oak Hill ECP 2015 -3-sub | 2,13 | CLO | Equity | Broadly syndicated loans | , Oak Hill |
Europe Inc- UK |
XS1227790844 | Goldman Sachs | 2015 |
| ALBA 2006-2 PLC | 2,11 | ABS | Residual | UK non-conforming RMBS |
Oakw ood | United Kingdom |
XS0271780651 | Credit Suisse | 2006 |
| Batallion CLO 2007-1 E - BB debt | 2,02 | CLO | Debt | Broadly syndicated loans | Brigade Capital Management |
USA | USG08889AF79 | Deutsche Bank | 2007 |
| Adagio III CLO E -BB debt | 1,99 | CLO | Debt | Broadly syndicated loans | Axa Investment Managers Paris |
Europe | XS0262683971 | Lehman Brothers | 2006 |
| Richmond Park CLO D - BB debt | 1,89 | CLO | Debt | Broadly syndicated loans | GSO Blackstone |
Europe | XS1000874302 | Citigroup | 2013 |
| ACAS 2015-2 E - BB debt | 1,89 | CLO | Debt | Broadly syndicated loans | ACAM | USA | USG0068AAA72 | Wellsfargo | 2015 |
| ALBA 2007-1 PLC | 1,89 | ABS | Residual | UK non-conforming RMBS |
Oakw ood | United Kingdom |
XS0301709621 | Credit Suisse | 2007 |
| CIFC 2007-2 D - BB debt | 1,83 | CLO | Debt | Broadly syndicated loans | CIFC | USA | USG21899AA00 | JP Morgan | 2007 |
| Acas CLO 2013-1 E - BB Debt | 1,82 | CLO | Debt | Broadly syndicated loans | ACAM | USA | USG0067AAA81 | Deutsche Bank | 2013 |
| CIFC 2006-2 B2L - BB debt | 1,77 | CLO | Debt | Broadly syndicated loans | CIMC | USA | XS0279835614 | Bear Stearns & Co Inc |
2006 |
| ICG 2014-2 E | 1,76 | CLO | Equity | Broadly syndicated loans | ICG Capital | USA | USG47075AA76 | Morgan Stanley |
2014 |
Volta Finance Portfolio Holdings: Complete List (ctd.)
| Issuer | % GAV | Main Asset Class |
Sub Classificatio n |
Description of underlying asset |
Manager/Servicer | Principal geographic exposure |
ISIN | Arranging Institution |
Vintage |
|---|---|---|---|---|---|---|---|---|---|
| Black Diamond 2013-1 D - BB debt | 1,63 | CLO | Debt | Broadly syndicated loans | Black Diamond Capital Management |
USA | USG11476AA93 | Natixis | 2013 |
| Bank Capital Opportunity Fund | 1,61 | Synthetic Corporate |
Bank Balance Sheet |
Majority investment grade corporate credit Axa Investment ManagersParis |
Europe non- UK |
LU0648070216 | AXA IMP | na | |
| KKR 12 E - BB debt | 1,45 | CLO | Debt | Broadly syndicated loans |
KKR Investment ~~Manager~~ |
USA | USG5277UAA90 | BNP Paribas | 2015 |
| Carlyle HY PART IX Sub | 1,44 | CLO | Equity | Broadly syndicated loans | Carlyle | USA | KYG1908R1048 | Lehman Brothers | 2006 |
| Acas CLO 2014-2 E - BB debt | 1,42 | CLO | Debt | Broadly syndicated loans | ACAM | USA | USG00677AA51 | Wellsfargo | 2014 |
| Elvetia 2 | 1,36 | Synthetic ~~Corporate~~ |
Bank Balance ~~Sheet~~ |
Majority investment grade ~~corporate credit~~ |
Major European ~~Bank~~ |
Europe non- ~~UK~~ |
XS1249420396 | Major European ~~Bank~~ |
2015 |
| Golden Tree Loan OPP. 2007-4 Sub | 1,25 | CLO | Equity | Broadly syndicated loans |
Golden Tree | USA | USG39607AC37 | Deutsche Bank | 2007 |
| Limerock 1 D – BB debt | 1,24 | CLO | Debt | Broadly syndicated loans | Invesco | USA | US532623AH83 | Credit Suisse | 2007 |
| Batallion CLO 2007-1 Sub | 1,18 | CLO | Equity | Broadly syndicated loans | Brigade Capital Management |
USA | USG08887AA27 | Deutsche Bank | 2007 |
| ICE 1 Emerg CLO- A3 – AA debt | 1,18 | Cash Corporate |
Debt | Corporate Emerging Debt | ICE Canyon LLC | Other | USG4746PAD09 | CitiGroup | 2006 |
| Sands Point 2006-1 Sub | 1,13 | CLO | Equity | Middle market loans | Guggenheim | USA | USG7800DAA93 | Deutsche Bank | 2006 |
| Jubilee1 D - BBB Debt | 1,13 | CLO | Debt | Broadly syndicated loans | Alcentra | Europe | XS0292633533 | JP Morgan | 2007 |
| ICG 2014-3 D - BB debt | 1,10 | CLO | Debt | Broadly syndicated loans | ICG Capital | USA | USG47071AA62 | Citibank | 2015 |
| Oak Hill ECP 2007-2 E - BB debt | 1,06 | CLO | Debt | Broadly syndicated loans | Oak Hill | Europe | XS0300349379 | Deutsche Bank | 2007 |
| Mountain View X E - BB debt | 1,05 | CLO | Debt | Broadly syndicated loans | Seix Advisor | USA | USG63005AA37 | Morgan Stanley | 2015 |
| Arese 2013-6 E - BB debt | 1,04 | CLO | Debt | Broadly syndicated loans | Arese Europe | Europe | XS0951555530 | Credit Suisse | 2013 |
| EuroGalaxy 2013-3 E - BB debt | 1,04 | CLO | Debt | Broadly syndicated loans | Pinnebridge (aka AIG) |
Europe | XS0996455472 | Barclays Capital | 2013 |
| ACAS 2015-2 Sub | 0,97 | CLO | Equity | Broadly syndicated loans | ACAM | USA | USG0068AAB55 | Wellsfargo | 2015 |
| ICG 2015-2 E - BB debt | 0,98 | CLO | Debt | Broadly syndicated loans | ICG Capital | USA | USG47091AA43 | Morgan Stanley | 2015 |
| Venture 2007-9 E - BB debt | 0,94 | CLO | Debt | Broadly syndicated loans | MJX | USA | USG93352AA33 | Morgan Stanley | 2007 |
Volta Finance Portfolio Holdings: Complete List (ctd.)
| Issuer | % GAV | Main Asset Class |
Sub Classificatio n |
Description of underlying asset |
Manager/Servicer | Principal geographic exposure |
ISIN | Arranging Institution |
Vintage |
|---|---|---|---|---|---|---|---|---|---|
| Centurion 2005-10 E - BB debt | 0,93 | CLO | Debt | Broadly syndicated loans | River Source Investments LLC |
USA | US15132PAA12 | Morgan Stanley | 2005 |
| Sieera 2006-2 B2L - BB debt | 0,93 | CLO | Debt | Broadly syndicated loans | Apidos Capital Management |
USA | XS0276546065 | Bear Stearns | 2006 |
| Black Diamond 2014-1 D - BB debt | 0,91 | CLO | Debt | Broadly syndicated loans | Black Diamond ~~Capital Management~~ |
USA | USG11496AA73 | JP Morgan | 2014 |
| ARESE 2013-6 - Sub | 0,90 | CLO | Equity | Broadly syndicated loans | Arese Europe |
Europe | XS0951556850 | Credit Suisse | 2013 |
| Dorchester Park 2015-1 Sub | 0,90 | CLO | Equity | Broadly syndicated loans | GSO Blackstone | USA | USG28175AC40 | Deutsche Bank | 2015 |
| ACAS 2015-1 E - BB debt | 0,90 | CLO | Debt | Broadly syndicated loans | ACAM | USA | USG0067UAA46 | Deutsche Bank | 2015 |
| Dorchester Park 2015-1 F - B Debt | 0,87 | CLO | Debt | Broadly syndicated loans | GSO Blackstone | USA | USG28175AB66 | Deutsche Bank | 2015 |
| Cordatus 2007-1 E BB debt | 0,86 | CLO | Debt | Broadly syndicated loans | CVC Credit Partners | Europe | XS0304113235 | RBS | 2007 |
| BlackDiamond 2012-1 D - BB debt | 0,84 | CLO | Debt | Broadly syndicated loans | Black Diamond Capital Management |
USA | USG1146TAA00 | Crédit Suisse | 2012 |
| CELF 2005-2 D - BBB debt | 0,84 | CLO | Debt | Broadly syndicated loans | Carlyle Europe |
Europe | XS0233121234 | JP Morgan | 2005 |
| Clock 2013 | 0,82 | Synthetic Corporate |
Bank Balance Sheet |
Majority investment grade corporate credit |
Major European Bank |
Europe non- UK |
XS0908245037 | Major European Bank |
2013 |
| Flatiron 2015-1 F - B debt | 0,81 | CLO | Debt | Broadly syndicated loans |
Nylim | USA | USG3554YAB86 | Morgan Stanley | 2015 |
| Start 10 | 0,81 | Synthetic ~~Corporate~~ |
Bank Balance ~~Sheet~~ |
Majority investment grade ~~corporate credit~~ |
Standard Chartered |
Other | XS1282736468 | Standard ~~Chartered~~ |
2015 |
| CARAVELA 3 | 0,79 | Synthetic Corporate |
Bank Balance Sheet |
SME Loans |
European Bank | Europe non- UK |
XS0945192762 | StormHarbour | 2013 |
| ACAS 2012-1 E - BB debt | 0,75 | CLO | Debt | Broadly syndicated loans | ACAM | USA | USG00669AA28 | Deutsche Bank | 2012 |
| Laurelin 2 D1 – BBB debt | 0,74 | CLO | Debt | Broadly syndicated loans | Golden Tree Asset Management LP |
Europe | XS0305010711 | Barclays Capital | 2007 |
| ACAS 2014-2 Sub | 0,67 | CLO | Equity | Broadly syndicated loans | ACAM |
USA | USG00677AB35 | Wellsfargo | 2014 |
| Adagio III D - BBB debt | 0,74 | CLO | Debt | Broadly syndicated loans | Axa Investment ~~ManagersParis~~ |
Europe | XS0262683203 | Lehman Brothers | 2006 |
| Euro Galaxy 2006-1 E – BB debt | 0,72 | CLO | Debt | Broadly syndicated loans | AIG Global ~~Investments~~ |
Europe | US29871UAG31 | Morgan Stanley | 2006 |
| Carlyle GMSE 2013-1 E - BB debt | 0,71 | CLO | Debt | Broadly syndicated loans | Carlyle | Europe | XS0941552407 | Barclays Capital | 2013 |
Volta Finance Portfolio Holdings: Complete List (ctd.)
| Issuer | % GAV | Main Asset Class |
Sub Classificatio n |
Description of underlying asset |
Manager/Servicer | Principal geographic exposure |
ISIN | Arranging Institution |
Vintage |
|---|---|---|---|---|---|---|---|---|---|
| Crescent Europ. Specially Lending | 0,61 | Cash Corporate |
Equity (Fund) | Loans | Crescent Capital Group |
Europe Inc- UK |
USG47075AA76 | na | na |
| Cordatus 2014-III - Sub | 0,48 | CLO | Equity | Broadly syndicated loans | CVC Credit Partners | Europe | XS1052142608 | Goldman Sachs | 2014 |
| PROMISE MOBILITY 2006-1 | 0,48 | Cash Corporate |
Equity | German SME Loans | IKB | Europe non- UK |
DE000A0LDYP7 | Deutsche Bank | 2006 |
| Acas CLO 2013-1 F - B debt | 0,43 | CLO | Debt | Broadly syndicated loans | ACAM | USA | USG0067AAB64 | Deutsche Bank | 2013 |
| ACAS 2015-1 F - B debt | 0,42 | CLO | Debt | Broadly syndicated loans | ACAM | USA | USG0067UAB29 | Deutsche Bank | 2015 |
| Oak Hill ECP 2007-2 Sub | 0,42 | CLO | Equity | Broadly syndicated loans | Oak Hill | Europe non- ~~UK~~ |
XS0300349700 | Deutsche Bank | 2007 |
| ALBA 2006-1 PLC | 0,42 | ABS | Residual | UK non-conforming RMBS |
Oakw ood | United Kingdom |
XS0255043050 | Credit Suisse | 2006 |
| ADAGIO II D1 - BBB debt | 0,41 | CLO | Debt | Broadly syndicated loans | Axa Investment ManagersParis |
Europe | XS0237058424 | Merrill Lynch International |
2005 |
| Apidos 2006-Q E - BB debt | 0,40 | CLO | Debt | Broadly syndicated loans | Apidos Capital Management |
USA | US03761NAA00 | Morgan Stanley | 2006 |
| Flatiron 2015-1 Sub | 0,39 | CLO | Equity | Broadly syndicated loans | Nylim | USA | USG3554YAC69 | Morgan Stanley | 2015 |
| Lightpoint Pan European CLO - Sub | 0,34 | CLO | Equity | Broadly syndicated loans | Neuberger Berman | Europe | XS0282169803 | Credit Suisse | 2006 |
| Lightpoin CLO V - Sub | 0,32 | CLO | Equity | Broadly syndicated loans | Neuberger Berman | USA | USG5487GAG31 | Credit Suisse | 2006 |
| Century 2007-14 C - BBB debt | 0,31 | CLO | Debt | Broadly syndicated loans | Lightpoint | USA | US15134UAA88 | Credit Suisse | 2007 |
| Octagon2007-XI D - BB debt | 0,19 | CLO | Debt | Broadly syndicated loans | Octagon Investment Partners |
USA | USG67245AF09 | Citigroup / GS | 2007 |
| PRELUDE | 0,18 | CLO | Equity | Broadly syndicated loans | AXA IM Paris | USA | XS0213954802 | Wachovia Bank N.A. |
2006 |
| Leopard IV E – BB debt | 0,18 | CLO | Debt | Broadly syndicated loans | M&G Investment Management Ltd |
Europe | XS0251752472 | RBS | 2006 |
| Opera Structured Credit | 0,20 | CLO | Equity | Broadly syndicated loans | AXA IM Paris |
USA | XS0244258272 | UBS | 2006 |
| Black Diamond - 2005-2 E1 - BB debt | 0,16 | CLO | Debt | Broadly syndicated loans | Black Diamond Capital Management |
USA | XS0232465202 | Bear Stearns | 2005 |
| Aquarius | 0,07 | Synthetic Corporate |
Bank Balance Sheet |
Majority investment grade corporate credit |
Major European Bank |
USA | XS0870021366 | Major European Bank |
2013 |
| Galaxy 2006-VII - Sub | 0,02 | CLO | Equity | Broadly syndicated loans |
AIG | USA | USG25796AB20 | Morgan Stanley | 2006 |
| Denali Capital 2005-V - Sub | 0,02 | CLO | Equity | Broadly syndicated loans | Denali Capital LLC | USA | US24821MAB46 | JP Morgan | 2005 |
About Volta Finance Ltd
Volta Finance Limited is incorporated in Guernsey under The Companies (Guernsey) Law, 2008 (as amended) and listed on Euronext Amsterdam and the London Stock Exchange's Main Market for listed securities. Volta’s home member state for the purposes of the EU Transparency Directive is the Netherlands. As such, Volta is subject to regulation and supervision by the AFM, being the regulator for financial markets in the Netherlands.
Volta's 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.
CLO
Synthetic Corporate Credit
This asset class regroups the Company investments in securities issued by collateralised swap obligations (“CSO”) as well as bank balance-sheet transactions. Through this asset class, the Company aim to get an exposure to investment grade, sub-investment grade or unrated credits. The vast majority of these credit exposures are investment grade corporate credit exposures mainly through synthetic arrangements such as Credit Default Swaps (“CDS”).
This asset class is split depending on the subordination to default of the securities. The equity positions have no subordination to default but receive a high cash-on cash payment; the debt positions benefit from subordination to default and receive a lower coupon payment.
Through a bank balance-sheet transaction, the Company aim to get an equity or mezzanine exposure to a specific core business of a bank. They are structured through synthetic arrangements, such as CDS, Total Return Swap or Credit Linked Note and are often private transactions.
This asset class regroups the Company investments in securities issued by actively managed Collateralized Loan Obligations (CLO). This asset class is split based on the risk position within the CLO capital structure (ie between equity and mezzanine debt positions) and on the geographical main exposures of the underlying portfolio (ie US or European senior secured loans).
Cash Corporate Credit
This asset class offers a direct exposure to corporate credit portfolios (either investment grade, high yield or unrated). It currently encompasses an unlevered fund of leverage loans, a small and medium enterprise CLO equity tranche and an emerging market CDO debt tranche offering a cash exposure to a portfolio of mainly emerging market corporates.
ABS
This asset class regroups the Company investments in securities issued by structures for which payments depends on residential mortgage loans. This asset class is split based on the riskiness of the positions (ie between Residual Interest and debt tranches)