Interim Management Statement
May 19 2008 - 12:52PM
UK Regulatory
19 May 2008
Alternative Asset Opportunities PCC Limited
(the "Company")
Interim Management Statement
This interim management statement relates to the period from 1 January 2008 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 31 March 2008, the Company's net asset value decreased by
3.7% to 112.2 pence. As at 31 March 2008 , the shares were trading at a 8.7%
discount to net asset value.
Two mortalities representing 4 policies have been recorded in the period
representing a face value of US$3 million. The benefit of these amounts to, in
aggregate, approximately 1.7 pence per share.
Other than described above, the Board is not aware of any material events
during the period from 1 January 2008 to 31 March 2008, or in the period from 1
April to the date of this announcement, which would have had a material impact
on the financial position of the Company.
Illustrative annualised returns
As stated in the interim report, the Investment Manager is currently conducting
a review of a sample of life expectancy assessments and, given the low rate of
portfolio maturities compared to expectations, the Board will be considering
whether this has implications for its current valuation methodology. As soon as
this process is complete, the Board will report its conclusions to
shareholders. The projections below are based on the current valuation
methodology and must be interpreted accordingly.
The table below sets out a range of illustrative annualised returns over the
remaining life of the Company, with reference to the 31 March 2008 NAV of 112.2
pence.
Mortality Proportion Exit -10c -5c At Exit +5c +10c
Assumption Surviving Price(c) Price
(note 1) (note 2) (note 3)
-18 months 42.5% 46.00c 12.4% 13.7% 15.0% 16.2% 17.4%
-6 months 46.4% 46.24c 10.5% 12.0% 13.4% 14.8% 16.1%
Central 49.5% 46.42c 8.9% 10.5% 12.1% 13.6% 15.0%
+6 months 52.8% 46.62c 7.1% 8.9% 10.6% 12.3% 13.8%
+18 months 58.7% 46.95c 3.4% 5.7% 7.7% 9.7% 11.5%
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-March NAV.
Source: Surrenda-link Limited
Top ten holdings
By reference to the most recent portfolio valuation of the Company as at 31
March 2008, the largest ten investments held by the Company, measured by life
office exposure, were as follows:
Life Office Number of % of total
policies assets as at
31 March 2008
American General Life Insurance Company (TX) 13 14.7%
Transamerica Occidental Life Ins Co 21 11.1%
Jefferson-Pilot Life Insurance Company 11 8.8%
C M Life Insurance Company 9 8.1%
Lincoln National Life Insurance Co 8 7.6%
Pacific Life Insurance Company 6 5.7%
Indianapolis Life Insurance Company 7 5.7%
Manufacturers Life Ins Co (U.S.A.) 10 5.0%
John Hancock Life Insurance Company 7 4.8%
New York Life Insurance and Annuity Corp 6 3.1%
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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