Interim Management Statement
November 12 2007 - 2:00AM
UK Regulatory
12 November 2007
Alternative Asset Opportunities PCC Limited
(the "Company")
Interim Management Statement
This interim management statement relates to the period from 1 July 2007 to the
date of publication of this statement and has been prepared solely to provide
additional information in order to meet the relevant requirement of the UK
Listing Authority's Disclosure and Transparency Rules, and should not be relied
on by Shareholders, or any other party, for any other purpose.
The Company is a closed-ended protected cell company with one cell known as the
US Traded Life Interests Fund (the "Fund").
Investment objective
The Company's investment objective in respect of the Fund is to provide
investors with an attractive capital return through investment predominantly in
a diversified portfolio of U.S. Traded Life Interests ("TLIs").
Financial position and performance
Over the period to 30 September 2007, the Company's net asset value increased
by 0.77% to 117.2 pence. As at 30 September 2007, the shares were trading at a
10.8% discount to net asset value.
On 17 August, the Company announced that it had increased its bank facility
with Allied Irish Banks p.l.c. to $30 million and extended its term to March
2009. The Company's current total bank borrowings are $25 million,
approximately 26.0% of the net assets as at 30 September 2007
Other than described above, the Board is not aware of any material events
during the period from 1 July 2007 to 30 September 2007, or in the period from
1 October to the date of this announcement, which would have had a material
impact on the financial position of the Company.
Illustrative annualised returns
The table below sets out a range of illustrative annualised returns over the
remaining life of the Company, with reference to the end September NAV of 117.2
pence.
Mortality Proportion Exit -10c -5c At Exit +5c +10c
Assumption Surviving Price(c) Price
(note 1) (note 2) (note 3)
-18 months 39.6% 46.07c 10.2% 11.2% 12.1% 13.1% 14.0%
-6 months 43.5% 46.30c 8.6% 9.8% 10.9% 11.9% 12.9%
Central 46.6% 46.48c 7.3% 8.6% 9.8% 11.0% 12.1%
+6 months 49.9% 46.68c 5.8% 7.3% 8.6% 9.9% 11.1%
+18 months 55.9% 47.01c 2.9% 4.7% 6.3% 7.9% 9.3%
Notes
1. The central case assumes that claims experience precisely matches the
valuation basis. The changes as shown illustrate the effect of actual life
expectancies varying from the medically assessed life expectancies by the
stated number of months.
2. This shows the percentage of policy lives insured assumed to survive
throughout the life of the Company.
3. This shows the assumed average realisation values per US$1 of TLI policy
face value in respect of the policies of the surviving lives insured at the end
of life of the Company, by reference to the different mortality assumptions as
stated. The central case corresponds to the valuation assumptions used in
arriving at the end-September NAV.
Source: Surrenda-link Limited
Top ten holdings
By reference to the most recent portfolio valuation of the Company as at 30
September 2007, the largest ten investments held by the Company, measured by
life office exposure, were as follows:
Life Office Number of % of total assets
policies as at
30 September 2007
American General Life Insurance Company (TX) 13 14.9%
Transamerica Occidental Life Ins Co 22 11.3%
C M Life Insurance Company 9 9.0%
Indianapolis Life Insurance Company 7 6.8%
John Hancock Life Insurance Company 9 6.8%
Lincoln L & A Co of NY 12 6.7%
Lincoln National Life Insurance Co 8 6.5%
Pacific Life Insurance Company 6 6.3%
Manufacturers Life Ins Co (U.S.A.) 11 5.6%
Travelers Life and Annuity Company 5 2.6%
Company Information
Launch date 25 March 2004
EPIC TLI
Year end 30 June
Report & Accounts Final posted October, Interim posted February
AGM November
Price Information Financial Times (under INVESTMENT COMPANIES, listed as `Alt
Asts Rd P.')
Investor Information
The latest available portfolio information included in the interim and annual
report and accounts can be accessed via www.allianzgi.co.uk/agi/literature/
04_ifa. Investor services can be contacted on 0800 84 84 94 for further
information.
By order of the Board
Alternative Asset Opportunities PCC Limited
Enquiries:
Roger Sendall Tel: 01481 752 409
Kleinwort Benson (Channel Islands) Fund Services Limited
END
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