Interim Management Statement
January 13 2010 - 5:31AM
UK Regulatory
TIDMTLI
RNS Number : 4738F
Alternative Asset Opps PCC Ltd
13 January 2010
13 January 2010
Alternative Asset Opportunities PCC Limited
(the "Company")
Interim Management Statement
This interim management statement relates to the period from 1 September 2009 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 Guernsey 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 November 2009, the Company's net asset value per share
decreased by 4.5% to 88.5 pence. As at 30 November 2009, the shares were trading
at a 27.1% discount to net asset value.
Three mortalities were accounted for in the period with a total face value of
US$7.6 million. There have been, in aggregate, 24 policy maturities since the
Fund's inception.
The Company's US$38 million borrowing facility with Allied Irish Banks expires
in March 2010 and is currently in the process of being renewed. As of 30
November 2009 total borrowings under the present facility amounted to US$27.3
million. Since that date a further US$2 million has been drawn down under the
facility and US$6.2 million has been repaid to AIB, leaving a current balance of
US$23.2 million.
The Board is not aware of any other material events during the period from 1
September 2009 to 30 November 2009, or in the period from 1 December 2009 to the
date of this announcement, which would have had a material impact on the
financial position of the Company.
Illustrative predicted yields
The table below sets out the range of illustrative predicted yields over the
remaining life of the Company, with reference to the 30 November 2009 NAV of
88.5 pence per share.
+----------+---------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| | | 31 December 2012 | 31 December 2016 |
+--------------------------+---------+-------------------------------------------+--------------------------------------------+
| | | | | IRR based | | | IRR based on |
| | | | | on exit | | | exit price |
| | | | | price | | | range5: |
| | | | | range5: | | | |
+--------------------------+---------+------------+-----------+------------------+------------+-----------+-------------------+
| Variation in | LE | Policies | Remaining | 100%6 | 70%7 | Policies | Remaining | 100%6 | 70%7 |
| mortality1 | change | surviving3 | Shares in | | | surviving3 | Shares in | | |
| | (years) | | force 4 | | | | force 4 | | |
| | 2 | | | | | | | | |
+--------------------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 125% | -1.09 | 55.8% | 65.7% | 14.96% | 2.40% | 22.0% | 15.2% | 14.35% | 8.74% |
+--------------------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 110% | -0.48 | 59.6% | 75.4% | 12.34% | 0.06% | 25.7% | 22.4% | 11.18% | 5.72% |
+--------------------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 100% | 0.00 | 62.3% | 83.1% | 10.48% | -1.59% | 28.6% | 28.6% | 9.05% | 3.69% |
+--------------------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 80% | +1.20 | 68.1% | 100.0% | 6.42% | -5.21% | 35.8% | 47.8% | 4.68% | -0.46% |
+--------------------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 50% | +4.12 | 78.2% | 100.0% | -1.06% | -11.86% | 50.8% | 100.0% | -2.95% | -7.71% |
+--------------------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 30% | +8.00 | 86.1% | 100.0% | -7.57% | -17.67% | 65.3% | 100.0% | -14.43% | -18.63% |
+--------------------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| | Ignore | n/a | 78.3% | 100.0% | 0.02% | -10.91% | 42.6% | 76.0% | 1.81% | -3.19% |
| | Medical | | | | | | | | | |
| | Underwriting8 | | | | | | | | | |
+----------+---------------+---------+------------+-----------+--------+---------+------------+-----------+---------+---------+
Notes
1. The central case (100%) assumes that claims experience matches the
valuation basis in force at 30 November 2009. The other scenarios assume that
the mortality experience is higher (e.g. 110% means that if one expects 10
deaths, one instead experiences 11) or lower (e.g. 80% means that if one expects
10 deaths, one instead experiences 8).
2.This shows the effect of the mortality experience on the life expectancy (in
years) for an otherwise normal 80-year-old non-smoker.
3.The proportion of policies surviving to the specified date based on the
portfolio as at 30 November 2009. No allowance has been made for the policies
that have matured after this date.
4.The model assumes that shares are repurchased whenever excess cash beyond that
required for premium reserves is available. This column represents the number of
shares still in force and not repurchased at the relevant date.
5. This shows how the return varies for a shareholder holding the shares
between 30 November 2009 and the relevant date (31 December 2012 or 31 December
2016) based on the growth in the NAV per share.
6.Return based on growth in NAV per share assuming valuation at the relevant
date using the valuation basis in force at 30 November 2009.
7. Return based on winding up at the relevant date assuming that the net
realised proceeds of assets is 70% of the valuation calculated in accordance
with the valuation basis in force at 30 November 2009.
8. Mortality outcome assuming the lives are all "normal" lives from the point
of view of mortality expectations and ignoring the implied relative health from
medical underwriting.
Source: SL Investment Management Limited
Top ten holdings
By reference to the most recent portfolio valuation of the Company as at
30 November 2009, the largest ten investments held by the Company, measured by
life office exposure, were as follows:
+-----------------------------------------------------+----------+------------------+
| Issuer | Number | % of total |
| | of | assets as at |
| | policies | 30 November 2009 |
+-----------------------------------------------------+----------+------------------+
| American General Life Insurance Company (TX) | 13 | 15.81% |
+-----------------------------------------------------+----------+------------------+
| Lincoln National Life Insurance Co | 19 | 14.38% |
+-----------------------------------------------------+----------+------------------+
| Transamerica Life Insurance Company | 21 | 13.18% |
+-----------------------------------------------------+----------+------------------+
| Massachusetts Mutual Life Insurance Co | 10 | 9.07% |
+-----------------------------------------------------+----------+------------------+
| Pacific Life Insurance Company | 6 | 6.89% |
+-----------------------------------------------------+----------+------------------+
| Aviva Life and Annuity Company | 6 | 6.26% |
+-----------------------------------------------------+----------+------------------+
| John Hancock Life Insurance Company | 10 | 6.20% |
+-----------------------------------------------------+----------+------------------+
| MetLife Insurance Company of Connecticut | 8 | 4.14% |
+-----------------------------------------------------+----------+------------------+
| New York Life Insurance and Annuity Corp | 6 | 3.46% |
+-----------------------------------------------------+----------+------------------+
| Security Life of Denver Insurance Co | 1 | 3.11% |
+-----------------------------------------------------+----------+------------------+
Company Information
Launch date25 March 2004
EPIC TLI
Year end31 August (reverting to 30 June from 2010 onwards)
Report & Accounts2009 Annual Report posted December, Interim posted April
AGMFebruary
Price Information Financial Times (under INVESTMENT COMPANIES, listed as
'AltAstsOpps.')
Investor Information
The latest available portfolio information included in the interim and annual
report and accounts can be accessed via
http://www.rcm.com/investmenttrusts/investors_tlif.php(under the Professional
Investors section)
By order of the Board
Alternative Asset Opportunities PCC Limited
Enquiries:
Peter Ingram
Company Secretary Tel: 020 7065 1467
This information is provided by RNS
The company news service from the London Stock Exchange
END
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