TIDMTLI
RNS Number : 5061K
Alternative Asset Opps PCC Ltd
20 April 2010
ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED
Half-Yearly Announcement of Results
For the period from 1 September 2009 to 28 February 2010
At a meeting of the Board of Directors held on 20 April 2010, the half yearly
accounts for the Company for the period 1 September 2009 to 28 February 2010
were approved, details of which are attached.
The financial information set out in this announcement does not constitute the
Company's statutory accounts for the period 1 September 2009 to 28 February
2010, but is derived from those accounts. Printed accounts for the period 1
September 2009 to 28 February 2010 will be delivered to Shareholders during May
2010.
The financial statements have been prepared in accordance with International
Financial Reporting Standards (IFRS). Whilst the financial information included
in this preliminary announcement has been computed in accordance with IFRS, this
announcement does not itself contain sufficient information to comply with IFRS.
The Company will publish condensed financial statements that comply with IFRS in
May 2010. This announcement has been prepared using accounting policies
consistent with those set out in the Company's half yearly report and financial
statements for the period 1 September 2009 to 28 February 2010.
P W I Ingram
Company Secretary
Telephone number: 020 7065 1467
155 Bishopsgate
London EC2M 3AD
20 April 2010
For the period from 1 September 2009 to 28 February 2010
General information
Alternative Asset Opportunities PCC Limited (the "Company") was registered on 27
February 2004 in Guernsey, as a closed-ended protected cell company in
accordance with the provisions of The Protected Cell Companies Ordinance, 1997
and The Companies (Guernsey) Law, 2008. It was established with one Cell known
as the US Traded Life Interests Fund (the "Fund") which had a planned life of
approximately 8 years from the date of launch. Following a Special Resolution
passed at an Extraordinary General Meeting on 28 August 2009, the Articles of
Incorporation were amended to move from having a fixed life in respect of the
Company's Cell, US Traded Life Interests Fund (terminating on 31 March 2012) to
offering shareholders annual continuation votes from the Company's 2012 Annual
General Meeting onward.
With effect from 1 September 2009, the Company has been managed with a view to
being approved as an Investment Trust within the meaning of the Taxes Act, and
has been resident in the UK for tax purposes from that date.
Investment objective
The Company's 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").
For the period from 1 September 2009 to 28 February 2010
+---------------------------------+---------------------------------+
| Directors | Registrar |
| CPG Tracy (Chairman) | Capita Registrars (Guernsey) |
| DIW Reynolds (Chairman of the | Limited |
| Audit Committee) | Longue Hougue House |
| JPHS Scott (appointed 22 | St Sampson |
| October 2009) | Guernsey, GY1 3US |
| SM Zein (appointed 1 September | |
| 2009) | |
+---------------------------------+---------------------------------+
| Registered Office | Investment Manager |
| Dorey Court, Admiral Park | SL Investment Management |
| St Peter Port | Limited |
| Guernsey, GY1 3BG | 8/11 Grosvenor Court |
| | Foregate Street |
| | Chester, CH1 1HG |
| | |
+---------------------------------+---------------------------------+
| Manager | Banker and Custodian |
| RCM (UK) Limited | Kleinwort Benson (Guernsey) |
| 155 Bishopsgate | Limited |
| London, EC2M 3AD | Dorey Court, Admiral Park |
| | St Peter Port |
| | Guernsey, GY1 3BG |
+---------------------------------+---------------------------------+
| Secretary | Sub Custodian |
| RCM (UK) Limited | Wells Fargo Bank Northwest N.A. |
| 155 Bishopsgate | 299 South Main Street |
| London EC2M 3AD | 12th Floor |
| | Salt Lake City |
| Represented by PWI Ingram FCIS | UT 84111-2263 |
| | |
+---------------------------------+---------------------------------+
| Administrator | Legal Advisers (Guernsey) |
| Kleinwort Benson (Channel | Carey Olsen |
| Islands) | Carey House |
| Fund Services Limited | Les Banques |
| Dorey Court, Admiral Park | St Peter Port |
| St Peter Port | Guernsey, GY1 4BZ |
| Guernsey, GY1 3BG | |
| | |
+---------------------------------+---------------------------------+
| Legal Advisers (UK) | Auditors |
| Herbert Smith LLP | Deloitte LLP |
| Exchange House | Regency Court |
| Primrose Street | Glategny Esplanade |
| London, EC2A 2HS | St Peter Port |
| | Guernsey, GY1 3HW |
| | |
+---------------------------------+---------------------------------+
| Financial Adviser and Corporate | |
| Broker | |
| RBS Hoare Govett Limited | |
| 250 Bishopsgate | |
| London EC2M 4AA | |
| | |
+---------------------------------+---------------------------------+
INVESTOR INFORMATION (CONTINUED)
For the period from 1 September 2009 to 28 February 2010
Directors
The Directors have been chosen for their investment and commercial experience
and are listed below:
Charles Tracy, Chairman, (aged 64) has over 30 years' experience as a merchant
banker, covering both the investment management and banking fields. On joining
N.M. Rothschild & Sons in 1975 he was made responsible for Asian and
commodity-related investments, working in Malaysia and Hong Kong before taking
up the post of Managing Director of N.M. Rothschild & Sons (C.I.) Ltd. in 1981,
and remaining in that position until 1998. During that period he was Chairman of
the Association of Guernsey Banks and of the Guernsey International Business
Association. He is currently non-executive Chairman of Louvre Fund Management
Limited and the President of the Guernsey Tax Tribunal. He is a resident of
Guernsey.
Ian Reynolds (aged 66) is a former Chief Executive of Commercial Union Life
Assurance Company. He is a director of Liverpool Victoria Friendly Society and a
former consultant actuary at Towers Perrin. Mr Reynolds is a Fellow of the
Institute of Actuaries and a Chartered Director. He is UK resident.
John Scott (aged 57) was appointed a Director on 22 October 2009. He is
currently a director of several UK investment trusts and is Chairman of Scottish
Mortgage and of Dunedin Income Growth. Mr Scott held a number of senior
appointments at Lazard Brothers & Co., Limited. Prior to that, he worked at
Jardine Matheson & Co., Limited. He is a Fellow of the Chartered Insurance
Institute and of the Chartered Institute for Securities and Investment. He is UK
resident.
Saad Zein (43) was appointed a Director on 1 September 2009. Mr Zein is a
Senior Managing Director of Aladdin Capital Management UK LLP. Prior to this,
his career has been spent as an investment banker with particular focus on
credit markets and structured products, including US traded life interests. He
was employed by Dresdner Kleinwort Wasserstein between 1999 and 2009, where he
held a number of senior positions. He is UK resident.
The Investment Manager
The Investment Manager, SL Investment Management Limited, which is authorised
and regulated in the United Kingdom by the Financial Services Authority, was
formed in 1990 and is an investment adviser for a range of specialist investment
products.
The Investment Manager is responsible for managing the TLI portfolio.
The Manager
RCM (UK) Limited is part of RCM, a global asset management company operating
from six international offices-San Francisco, London, Frankfurt, Hong Kong,
Tokyo and Sydney. Through its predecessors RCM (UK) Limited has a heritage of
investment trust management expertise in the UK reaching back to the nineteenth
century and at 31 March 2010 it had GBP1.06 billion of assets under management
in a range of investment trusts. RCM (UK) Limited is authorised and regulated
by the Financial Services Authority.
RCM is a company of Allianz Global Investors which, with GBP1,046 billion of
assets under management at 31 December 2009, is one of the largest global asset
management groups.
The Manager is responsible for managing the cash and fixed interest holdings of
the Fund during its life, and foreign currency hedging.
RESPONSIBILITY STATEMENT
For the period from 1 September 2009 to 28 February 2010
We confirm to the best of our knowledge
a. the half yearly report and unaudited condensed financial statements have been
prepared in accordance with IAS 34;
b. the interim management report (contained in the Chairman's Statement,
Investment Manager's Report and Manager's Report) includes a fair review of the
information required by DTR 4.2.7R (indication of important events during the
first six months and description of principal risks and uncertainties for the
remaining six months of the year); and
c. the interim management report includes a fair review of the information
required by DTR 4.2.8R (disclosure of related party transactions and changes
therein).
By order of the Board
DIW ReynoldsJPHS Scott
Director Director
20 April 2010
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| FINANCIAL | | | | | | | | | |
| HIGHLIGHTS | | | | | | | | | |
+-------------------+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| For the period 1 September 2009 to 28 February 2010 | | | | | |
+--------------------------------------------------------------+----------+----------+-------------+----------+-------------+
| | | | | | | | | | | | | |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | 01.09.09 | | | 01.07.08 | | 01.07.08 |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | to | | | to | | to |
| | | | | | | | 28.02.10 | | | 31.12.08 | | 31.08.09 |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | (6 | | | (6 | | (14 |
| | | | | | | | months) | | | months) | | months) |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| Shares in issue | | 40,000,000 | | | 40,000,000 | | 40,000,000 |
+-------------------------------------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | | | | | | |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| Net Assets | | | | | 33,399,238 | | | 37,518,243 | | 37,064,596 |
| at period | | | | | | | | | | |
| end | | | | | | | | | | |
+--------------+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | | | | | | |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| Net asset value per Share at period | | 83.5p | | | 93.8p | | 92.7p |
| end (see note below) | | | | | | | |
+-------------------------------------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | | | | |
+--------------+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | | | | | | |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| Total deficit on ordinary | | (9.17p) | | | (2.14p) | | (3.28p) |
| activities for the | | | | | | | |
+-------------------------------------+----------+-------------+----------+----------+-------------+----------+-------------+
| financial | | | | | | | | | | |
| period per | | | | | | | | | | |
| Share | | | | | | | | | | |
+--------------+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | | | | | | |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| Revenue deficit per Share | | (1.39p) | | | (1.65p) | | (3.81p) |
+-------------------------------------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | |
+-------------------------------------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | | | | | | |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | | | | | | | | |
+---------+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
| | | | | |
+----+----+----+----+----------+------+----------+-------------+----------+----------+-------------+----------+-------------+
The half-yearly financial report has neither been audited nor reviewed by the
Company's auditors. The financial information for the period ended 31 August
2009 has been extracted from the audited financial statements for that period.
Dividends
The Directors do not propose a dividend for the period from 1 September 2009 to
28 February 2010.
CHAIRMAN'S STATEMENT
For the period from 1 September 2009 to 28 February 2010
Introduction
This statement covers the six months from 1 September 2009. In contrast to the
activity reported in my last statement, this has been a relatively quiet period.
Portfolio developments
A summary of portfolio maturities since inception is given in the following
table:
+------------------------+-----------+---------+---------+---------+
| Period | 40 | 12 | 14 | 6 |
| | months | months | months | months |
+------------------------+-----------+---------+---------+---------+
| Dates |Inception | 1/7/07 | 1/7/08 | 1/9/09 |
| |- 30/6/07 | - | - | - |
| | |30/6/08 |31/8/09 |28/2/10 |
+------------------------+-----------+---------+---------+---------+
| Number of policies | 7 | 6 | 7 | 3 |
| matured | | | | |
+------------------------+-----------+---------+---------+---------+
| Value of policies | $9.3m | $3.9m | $14.8m | $7.6m |
| matured ($ million) | | | | |
+------------------------+-----------+---------+---------+---------+
| Total premiums paid ($ | $18.8m | $9.0m | $10.5m | $4.4m |
| million) | | | | |
+------------------------+-----------+---------+---------+---------+
During the six month period to 28 February 2010, 3 policy maturities were
identified, with a total face value of US$ 7.6 million. This compares with 7
policies with a face value of US$ 14.8 million in the 14 month period to 31
August 2009, and 13 policies with a total face value of US$ 13.2 million, in the
period from the Company's launch to 30 June 2008.
Although it is encouraging that profits of approximately GBP1.9 million were
recognised on policies that matured in the period, the impact of policy
revaluations (partly due to updated LEs, as referred to below) was to reduce the
valuation of the portfolio of policies by some GBP4.6 million. For this reason
the benefit of foreign exchange gains during the period from the policy
portfolio of circa GBP3.5 million was largely negated. The combined effect of
these movements is recognised in the net gains on investments of GBP657,903, as
shown in the Condensed Income Statement on page 13.
A further maturity has been confirmed since 28 February 2010, with a total face
value of US$3.1 million.
As at 28 February 2010 there were a total of 136 policies in the portfolio, with
a face value of US$ 220.8 million and a valuation of US$ 86.9 million. There
have been no policy acquisitions since completion of the original policy
purchase programme, but premiums continued to be payable on existing holdings,
totalling US$ 4.3 million during the half year.
The principal issues facing the Company, that is to say valuation, credit risk,
gearing and hedging are discussed below.
Valuation
The valuation remains the best estimate of the Board and the Investment Manager
of the current value of the portfolio based on expected future cash flows. The
three major components of the valuation are life expectancy (LE) assessments,
the tables of predicted mortalities based on these life assessments and the
discount rate (internal rate of return, or IRR) used to arrive at a present
value of the resulting cash flow projections.
Past reports have alluded to changing views on life expectancy from the main US
life assessors. The Company has continued its stated practice of obtaining new
LE assessments on a portion of policies in the portfolio. To date a total of 31
policies have been re-assessed and the results have been incorporated into
valuations. This practice will be continued. Although LEs have on average been
increased for these policies, there remains no consistent trend in the LE
outcomes.
CHAIRMAN'S STATEMENT (continued)
For the period from 1 September 2009 to 28 February 2010
Valuation (continued)
In common with many participants in this sector, rates of mortality continue to
be significantly below those predicted. This may be due to underestimation of
LEs, but it may also be due to the particular characteristics of the portfolio.
Experience in the development of mortality in portfolios of TLIs is not yet
sufficiently extensive to explain what seems to be an industry-wide pattern in
this respect.
The Company's current valuation policy uses a combination of swap yields, to
represent market interest rates, with a risk premium, derived from actual
trades, to arrive at an overall IRR. Swap yields have stabilised, but there has
been insufficient trading volume to give a reliable indicator of risk premiums.
One particular problem is that there are distressed sellers in the market who
are prepared to make sales at discounted prices to maintain portfolio liquidity.
There is little reliable evidence of prices for acquisitions on a
non-distressed basis. Under these circumstances the Board has continued to use
the same IRRs as at the beginning of the period for the portfolio, reflecting
low swap yields and a high risk premium. The risk premium currently stands at
9.5% (weighted by value) which, given the generally high standing of the
underlying insurers combined with the uncertainties about LEs, seems reasonable
for this type of investment. The Board will keep this matter under regular
review.
The table of predicted yields set out below gives shareholders the opportunity
to see the effect on portfolio returns of a wide range of mortality assumptions.
The Board will continue actively to monitor market information and to keep the
valuation assumptions under review.
+------------+----------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| | | 31 December 2012 | 31 December 2016 |
+------------+----------+-------------------------------------------+--------------------------------------------+
| Variation | LE | Policies |Remaining | IRR5 | IRR5 | Policies |Remaining | IRR5 | IRR5 |
| in | change |surviving3 |Shares in | | |surviving3 |Shares in | | |
|mortality1 |(years)2 | | issue4 | | | | issue4 | | |
+ + + + +--------+---------+ + +---------+---------+
| | | | | 100%6 | 70%7 | | | 100%6 | 70%7 |
+------------+----------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 100% | 0.00 | 64.4% | 96.4% |11.73% | -1.48% | 29.5% | 33.2% | 9.55% | 3.98% |
+------------+----------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 80% | 1.20 | 70.0% | 100.0% | 7.02% | -5.64% | 36.6% | 55.7% | 4.94% | -0.40% |
+------------+----------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 50% | 4.12 | 79.7% | 100.0% |-1.68% |-13.31% | 51.7% | 100.0% | -3.84% | -8.73% |
+------------+----------+------------+-----------+--------+---------+------------+-----------+---------+---------+
| 30% | 8.00 | 87.1% | 100.0% |-9.22% |-19.96% | 66.1% | 100.0% |-19.15% |-23.26% |
+------------+----------+------------+-----------+--------+---------+------------+-----------+---------+---------+
Notes:
1. The central case (100%) assumes that claims experience matches the
valuation basis in force at 28 February 2010. The other scenarios assume 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
expectation (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 28 February 2010. 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 28 February 2010 and the relevant date (31 December 2012 or 31 December
2016) based on the growth in the NAV per share. The NAV at that date was 84.3
pence per share.
6. Return based on growth in NAV per share assuming valuation at the
relevant date using the valuation basis in force at 28 February 2010.
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 28 February 2010.
CHAIRMAN'S STATEMENT (continued)
For the period from 1 September 2009 to 28 February 2010
Valuation (continued)
In addition, the Board is providing similar information on two further bases
(see the notes above for explanation of table headings):
A. Assume all lives are "normal" from the point of view of mortality
expectations and ignore the implied relative health from medical underwriting.
In common with the above figures, results are projected from the NAV per share
as at 28 February 2010. Note: the figures on this basis provided in the annual
report were projected from the NAV per share calculated using the revised
assumptions and are thus not strictly comparable.
B. Calculate results on the 100% mortality assumption, but projected from the
share price at 28 February 2010 of 67.0p per share.
+------+------------+-----------+--------+---------+------------+-----------+--------+--------+
| | 31 December 2012 | 31 December 2016 |
+------+-------------------------------------------+------------------------------------------+
|Base | Policies |Remaining | IRR5 | IRR5 | Policies |Remaining | IRR5 | IRR5 |
| |surviving3 |Shares in | | |surviving3 |Shares in | | |
| | | issue4 | | | | issue4 | | |
+ + + +--------+---------+ + +--------+--------+
| | | | 100%6 | 70%7 | | | 100%6 | 70%7 |
+------+------------+-----------+--------+---------+------------+-----------+--------+--------+
| A. | 79.1% | 100% | 0.31% |-11.55% | 43.0% | 84.0% | 2.28% |-2.92% |
+------+------------+-----------+--------+---------+------------+-----------+--------+--------+
| B. | 64.4% | 96.4% |21.16% | 6.83% | 29.5% | 33.2% |13.30% | 7.53% |
+------+------------+-----------+--------+---------+------------+-----------+--------+--------+
Credit Risk
There have been no major changes in the financial standing of the insurers who
have issued the policies in the portfolio. As at the period end more than 99% of
the Company's policies by value were issued by companies with an A.M. Best
rating of 'A' or better. This figure has not changed significantly for some
time.
Gearing
The Company's borrowing agreement with Allied Irish Banks has been renewed, and
this provides the Company with the ability to borrow up to US$33,156,000 until
31 January 2011. The Board's intention is to pay down borrowings whenever
possible, and during the six month period the Company's total borrowings fell
from US$33,447,000 to US$25,156,000.
Hedging
As of 28 February 2010 the Company had sold forward net US$71,000,000 to March
2012, representing no change over the period. Although a little in excess of
the Company's current net dollar position, this is consistent with projected
dollar cash flows.
Outlook
The present state of the TLI market reinforces the Board's belief that the best
approach is to hold policies to maturity rather than seek early liquidation.
CPG Tracy
Chairman
20 April 2010
INVESTMENT MANAGER'S REVIEW
For the period from 1 September 2009 to 28 February 2010
Market Review
Trading volumes remain at very low levels in the Life Settlements ("LS") market.
The few active investors are smaller opportunistic buyers seeking out the
highest quality investments from the abundant supply of policies. Supply
volumes are supported by both distressed sellers and those looking to increase
liquidity by boosting premium reserves, which have in many cases been
diminishing as a result of lower than expected maturities.
The policies most in demand correspond closely to those held within AAO's
portfolio and are those deemed to be "plain vanilla" and typically possessing
the following characteristics:
· Death benefits less than $5m
· Life companies with a minimum AM Best rating of A
· Lives aged between 75 and 85
· Life expectancies between 5 and 10 years
· Low disparity between medical underwriters' life expectancy estimates
The prices achieved for policies of this type in the current depressed market
correspond to IRRs of between 14% and 16%; there is virtually no appetite for
premium financed policies or those involving beneficial interest programmes.
None of the constituents of the AAO portfolio is premium financed nor is
involved in a beneficial interest programme. 99.8% of the portfolio is split
across Life Companies currently possessing an AM Best rating of A or higher.
The investments in the AAO portfolio were carefully selected in accordance with
the Company's Investment Objective and Policy ensuring a high quality portfolio
composition.
Investment Portfolio Review
During the six-month period from 1 September 2009 to 28 February 2010 three
policy maturities (one woman and two men) were confirmed, releasing $7.6m in
death benefits. These maturities were announced in the previous report and there
have since been no further incidences. As at 28 February 2010, 136 policies
were in the Fund's portfolio secured on 115 individual lives. A further
maturity has been confirmed since 28 February 2010 with a total face value of
US43.1 million. Proceeds from this maturity will be received in due course.
From inception to 28 February 2010, there have been 23 policy maturities in
respect of 19 lives. Proceeds from these maturities total $36m, realising a
$20m gain on cost (including premiums paid).
The expected cost of premiums for the remaining four months of the period ending
30 June 2010 is $2.9m and in the following accounting period ending 30 June 2011
$9.8m, assuming no maturities during this time.
INVESTMENT MANAGER'S REVIEW (CONTINUED)
For the period from 1 September 2009 to 28 February 2010
Portfolio Summary
+---------------------------------+---------------------------------+
| Death Benefits | $221m |
+---------------------------------+---------------------------------+
| Investment Value | $87m |
+---------------------------------+---------------------------------+
| Male / Female Ratio | 64% / 36% |
+---------------------------------+---------------------------------+
| Number of Holding Life | 31 |
| Companies | |
+---------------------------------+---------------------------------+
Averages weighted by Death Benefits
+---------------------------------+---------------------------------+
| Age at purchase | 82.2 years |
+---------------------------------+---------------------------------+
| Age at valuation | 86.7 years |
+---------------------------------+---------------------------------+
| Pricing Life Expectancy at | 7.6 years |
| purchase | |
+---------------------------------+---------------------------------+
| Current Life Expectancy | 5.2 years |
+---------------------------------+---------------------------------+
Life Group (Parent Company) Distribution (Top 5)
+--------------+------------------+----------------+----------------+
| Ranking by | Parent Company | % Total Death | % Investment |
| Valuation | | Benefits | Value |
+--------------+------------------+----------------+----------------+
| 1 | Lincoln | 19.4% | 16.1% |
| | Financial Group | | |
+--------------+------------------+----------------+----------------+
| 2 | AIG Life Group | 16.3% | 16.0% |
+--------------+------------------+----------------+----------------+
| 3 | AEGON USA Group | 12.3% | 13.3% |
+--------------+------------------+----------------+----------------+
| 4 | Manulife | 8.6% | 9.1% |
| | Financial Group | | |
+--------------+------------------+----------------+----------------+
| 5 | MassMutual | 9.1% | 9.0% |
| | Financial Group | | |
+--------------+------------------+----------------+----------------+
Credit Quality Distribution by Holding Life Company
+----------------------+----------------------+----------------------+
| AM Best Rating | % Total Death | % Investment Value |
| | Benefits | |
+----------------------+----------------------+----------------------+
| A++ | 12.6% | 12.5% |
+----------------------+----------------------+----------------------+
| A+ | 46.6% | 43.5% |
+----------------------+----------------------+----------------------+
| A | 40.6% | 43.8% |
+----------------------+----------------------+----------------------+
| A- | 0.1% | 0.1% |
+----------------------+----------------------+----------------------+
| B++ | 0.0% | 0.0% |
+----------------------+----------------------+----------------------+
| B+ | 0.1% | 0.1% |
+----------------------+----------------------+----------------------+
Minimum rating in portfolio: B+
Conclusion
The Company's portfolio of TLIs is valued at Directors' discretion using swap
yields plus a margin. Although interest rates have fallen, the rate being
applied to policies has not changed during the period, meaning the margin has
effectively been increased.
A further batch of policies has been selected for the rolling programme of
updating life expectancies and the effect of updated assessments will be
incorporated into the values in due course.
SL Investment Management Limited
20 April 2010
MANAGER'S REVIEW
For the period from 1 September 2009 to 28 February 2010
Borrowings and Investments
In February 2010 the Company renewed the borrowing arrangements with Allied
Irish Banks. As before, there are two elements, both now expiring on 31 January
2011. The first part is an amortising term loan facility of US$23,156,000 and
the second part is a revolving credit facility ("RCF") of US$10 million. This
arrangement should cover the Company's funding requirement until early 2011.
As at 28 February 2010 the amortising term loan facility was fully utilised, and
US$2 million had been drawn down under the RCF.
The primary covenant requires the Company to maintain cover (i.e. asset value,
subject to certain adjustments, divided by borrowing) above 2.5 times. As at 28
February 2010 cover was 3.2 times.
In September 2009, the Company bought a GBP100,000 holding of the UK Treasury 4%
2016 gilt in order to generate UK securities income.
Currency Hedging
The Company hedges its US dollar exposure by means of forward sales of US
dollars. As at 28 February 2010 there were twelve outstanding forward foreign
exchange contracts for the sale of US$78.5 million against sterling contracts
maturing 30 March 2012 and one contract for the purchase of US$7.5 million
against a sterling contract maturing 30 March 2012. This was consistent with
cash flows up to that date.
The net unrealised loss on these positions amounted to GBP8,720,808, and once
the unrealised FX profit on the underlying policies, denominated in US dollars,
is taken into account, there was a total unrealised net loss on the Company's FX
positions equivalent to 2.7 pence per share.
RCM (UK) Limited
20 April 2010
CONDENSED INCOME STATEMENT
For the period from 1 September 2009 to 28 February 2010
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| | | 01.09.09 to 28.02.10 | 01.07.08 to 31.12.08 | 01.07.08 to 31.08.09 |
+--------------------+-------+-------------------------------------------------+-----------------------------------------+-------------------------------------------+
| |Notes | Revenue | Capital | Total | Revenue | Capital | Total | Revenue | Capital | Total |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| | | GBP | GBP | GBP | GBP | GBP | GBP | GBP | GBP | GBP |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Operating income | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Net gains on | 9 | - | 657,903 | 657,903 | - | 17,084,221 | 17,084,221 | - | 10,484,688 | 10,484,688 |
| investments | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Other foreign |13&15 | - | (3,767,766) | (3,767,766) | - | (17,280,572) | (17,280,572) | - | (10,270,908) | (10,270,908) |
| exchange losses | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Interest and | 3 | 1,978 | - | 1,978 | 21,094 | - | 21,094 | 6,543 | - | 6,543 |
| similar income | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Operating expenses | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Management fee | 4 | (73,199) | - | (73,199) | (114,443) | - | (114,443) | (197,745) | - | (197,745) |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Investment | 4 | (86,565) | - | (86,565) | (120,808) | - | (120,808) | (217,755) | - | (217,755) |
| manager's fee | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Custodian fee | | (8,656) | - | (8,656) | (9,580) | - | (9,580) | (21,708) | - | (21,708) |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Other expenses | 5 | (175,211) | - | (175,211) | (138,022) | - | (138,022) | (535,069) | - | (535,069) |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Total operating | | | | | | | | | | |
| expenses | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| before finance | | (343,631) | - | (343,631) | (382,853) | - | (382,853) | (972,277) | - | (972,277) |
| costs | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Operating | | | | | | | | | | |
| (loss)/profit | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| before finance | | (341,653) | (3,109,863) | (3,451,516) | (361,759) | (196,351) | (588,110) | (965,734) | 213,780 | (751,954) |
| costs | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Finance costs | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Loan Interest | 12 | (213,841) | - | (213,841) | (299,352) | - | (299,352) | (559,155) | - | (559,155) |
| payable | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| Net | | (555,494) | (3,109,863) | (3,665,357) | (661,111) | (196,351) | (857,462) | (1,524,889) | 213,780 | (1,311,109) |
| (deficit)/return | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
| (Deficit)/Return | 7 | (1.39p) | (7.78p) | (9.17p) | (1.65p) | (0.49p) | (2.14p) | (3.81p) | 0.53p | (3.28p) |
| per share | | | | | | | | | | |
+--------------------+-------+---------------+-------------+-------------------+-----------+--------------+--------------+-------------+--------------+--------------+
The revenue column of this statement is the revenue account of the Company. All
revenue and capital items in the above statement derive from continuing
operations. The notes on pages 18 to 24 are an integral part of these
condensed financial statements.
CONDENSED BALANCE SHEET
As at 28 February 2010
+-------------------------------------+-------+-------------+----------------+---------------+
| |Notes | 28.02.10 | 31.12.08 | 31.08.09 |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | GBP | GBP | GBP |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Non-current assets | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Financial assets at fair value | 9 | 57,139,943 | 66,051,919 | 58,253,174 |
| through profit or loss | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | 57,139,943 | 66,051,919 | 58,253,174 |
+-------------------------------------+-------+-------------+----------------+---------------+
| Current assets | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Cash and cash equivalents | | 1,646,457 | 397,196 | 903,849 |
+-------------------------------------+-------+-------------+----------------+---------------+
| Other receivables | 10 | 17,451 | 4,104,515 | 4,621,059 |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | 1,663,998 | 4,501,711 | 5,524,908 |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Total assets | | 58,803,941 | 70,553,630 | 63,778,082 |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Current liabilities | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Loan account | 12 | 16,509,166 | 21,874,359 | 20,557,471 |
+-------------------------------------+-------+-------------+----------------+---------------+
| Fair value of forward foreign | 15 | 8,720,808 | 10,953,819 | 5,720,617 |
| exchange contracts | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Other payables | 11 | 174,728 | 207,209 | 435,398 |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Total liabilities | | 25,404,702 | 33,035,387 | 26,713,486 |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Net assets attributable to | | 33,399,239 | 37,518,243 | 37,064,596 |
| shareholders | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Shareholders' funds | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Share premium account | | 39,168,236 | 39,168,236 | 39,168,236 |
+-------------------------------------+-------+-------------+----------------+---------------+
| Reserves | 13 | (5,768,997) | (1,649,993) | (2,103,640) |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Total equity | | 33,399,239 | 37,518,243 | 37,064,596 |
+-------------------------------------+-------+-------------+----------------+---------------+
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
| Net asset value per share | 8 | 83.5p | 93.8p | 92.7p |
| | | | | |
+-------------------------------------+-------+-------------+----------------+---------------+
These financial statements were approved by the Board of Directors on 20 April
2010.
Signed on behalf of the Board.
DIW Reynolds JPHS Scott
Director Director
The notes on pages 18 to 24 are an integral part of these condensed financial
statements.
CONDENSED STATEMENT OF CHANGES IN SHAREHOLDERS' FUNDS
For the period from 1 September 2009 to 28 February 2010
+----------------------------+-------------+-------------+-------------+-------------+
| | Share | Capital | Revenue | Total |
+----------------------------+-------------+-------------+-------------+-------------+
| | Premium | Reserve | Reserve | |
+----------------------------+-------------+-------------+-------------+-------------+
| | GBP | GBP | GBP | GBP |
+----------------------------+-------------+-------------+-------------+-------------+
| At 1 July 2008 | 39,168,236 | 2,175,113 | (2,967,644) | 38,375,705 |
+----------------------------+-------------+-------------+-------------+-------------+
| | | | | |
+----------------------------+-------------+-------------+-------------+-------------+
| Deficit for the period | - | (196,351) | (661,111) | (857,462) |
+----------------------------+-------------+-------------+-------------+-------------+
| | | | | |
+----------------------------+-------------+-------------+-------------+-------------+
| At 31 December 2008 | 39,168,236 | 1,978,762 | (3,628,755) | 37,518,243 |
+----------------------------+-------------+-------------+-------------+-------------+
| | | | | |
+----------------------------+-------------+-------------+-------------+-------------+
| Return/(Deficit) for the | - | 410,131 | (863,778) | (453,647) |
| period | | | | |
+----------------------------+-------------+-------------+-------------+-------------+
| | | | | |
+----------------------------+-------------+-------------+-------------+-------------+
| At 31 August 2009 | 39,168,236 | 2,388,893 | (4,492,533) | 37,064,596 |
+----------------------------+-------------+-------------+-------------+-------------+
| | | | | |
+----------------------------+-------------+-------------+-------------+-------------+
| Deficit for the period | - | (3,109,863) | (555,494) | (3,665,357) |
+----------------------------+-------------+-------------+-------------+-------------+
| | | | | |
+----------------------------+-------------+-------------+-------------+-------------+
| At 28 February 2010 | 39,168,236 | (720,970) | (5,048,027) | 33,399,239 |
+----------------------------+-------------+-------------+-------------+-------------+
The notes on pages 18 to 24 are an integral part of these condensed financial
statements.
CONDENSED CASH FLOW STATEMENT
For the period from 1 September 2009 to 28 February 2010
+----------------------------------------+-------------+--------------+--------------+
| | 01.09.09 | 01.07.08 | 01.07.08 |
+----------------------------------------+-------------+--------------+--------------+
| | to | to | to |
| | 28.02.10 | 31.12.08 | 31.08.09 |
+----------------------------------------+-------------+--------------+--------------+
| | GBP | GBP | GBP |
+----------------------------------------+-------------+--------------+--------------+
| Cash flows from operating activities | | | |
+----------------------------------------+-------------+--------------+--------------+
| Revenue account operating loss before | (341,653) | (361,759) | (965,734) |
| finance costs for the period | | | |
+----------------------------------------+-------------+--------------+--------------+
| Decrease/(Increase) in other | 4,603,518 | (3,861,014) | (4,377,558) |
| receivables | | | |
+----------------------------------------+-------------+--------------+--------------+
| (Decrease)/Increase in other payables | (260,670) | (152,564) | 75,625 |
+----------------------------------------+-------------+--------------+--------------+
| Premiums paid | (2,644,328) | (2,683,369) | (6,459,242) |
+----------------------------------------+-------------+--------------+--------------+
| Purchase of investments | (105,430) | - | - |
+----------------------------------------+-------------+--------------+--------------+
| Proceeds from maturity of investments | 4,520,892 | 4,610,915 | 9,586,000 |
+----------------------------------------+-------------+--------------+--------------+
| Currency losses | (767,575) | (132,787) | (3,245,159) |
+----------------------------------------+-------------+--------------+--------------+
| | | | |
+----------------------------------------+-------------+--------------+--------------+
| Net cash inflow/(outflow) from | 5,004,754 | (2,580,578) | (5,386,068) |
| operating activities | | | |
+----------------------------------------+-------------+--------------+--------------+
| | | | |
+----------------------------------------+-------------+--------------+--------------+
| Financing activities | | | |
+----------------------------------------+-------------+--------------+--------------+
| (Decrease)/Increase in loan account | (4,048,305) | 2,081,030 | 5,652,976 |
+----------------------------------------+-------------+--------------+--------------+
| Interest paid | (213,841) | (299,352) | (559,155) |
+----------------------------------------+-------------+--------------+--------------+
| | | | |
+----------------------------------------+-------------+--------------+--------------+
| Net cash inflow from financing | (4,262,146) | 1,781,678 | 5,093,821 |
| activities | | | |
+----------------------------------------+-------------+--------------+--------------+
| | | | |
+----------------------------------------+-------------+--------------+--------------+
| Reconciliation of cash flow to | | | |
| movement in net cash | | | |
+----------------------------------------+-------------+--------------+--------------+
| Increase/(Decrease) in cash and cash | 742,608 | (798,900) | (292,247) |
| equivalents in the period | | | |
+----------------------------------------+-------------+--------------+--------------+
| Cash and cash equivalents at the | 903,849 | 1,196,096 | 1,196,096 |
| beginning of the period | | | |
+----------------------------------------+-------------+--------------+--------------+
| | | | |
+----------------------------------------+-------------+--------------+--------------+
| Cash and cash equivalents at the end | 1,646,457 | 397,196 | 903,849 |
| of the period | | | |
+----------------------------------------+-------------+--------------+--------------+
The notes on pages 18 to 24 are an integral part of these condensed financial
statements.
PORTFOLIO OF INVESTMENTS
As at 28 February 2010
+------------------------------+----------+-------------+-----------+--------+
| Traded Life Interests (TLIs) | | | | |
+------------------------------+----------+-------------+-----------+--------+
| | Number | | Portion | AM |
| | | | of | Best |
+------------------------------+----------+-------------+-----------+--------+
| | of | Valuation |Portfolio |Rating |
| |Policies | | | |
+------------------------------+----------+-------------+-----------+--------+
| Issuer | | GBP | % | |
+------------------------------+----------+-------------+-----------+--------+
| American General Life | 13 | 9,132,099 | 15.98% | A |
| Insurance Company (TX) | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Lincoln National Life | 19 | 8,300,277 | 14.53% | A+ |
| Insurance Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Transamerica Life Insurance | 21 | 7,611,746 | 13.32% | A |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Massachusetts Mutual Life | 10 | 5,138,375 | 8.99% | A++ |
| Insurance Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Aviva Life and Annuity | 6 | 3,612,671 | 6.32% | A |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| John Hancock Life Insurance | 10 | 3,546,973 | 6.21% | A+ |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Pacific Life Insurance | 6 | 3,376,334 | 5.91% | A+ |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| MetLife Insurance Company of | 8 | 2,403,994 | 4.21% | A+ |
| Connecticut | | | | |
+------------------------------+----------+-------------+-----------+--------+
| New York Life Insurance and | 6 | 1,994,322 | 3.49% | A++ |
| Annuity Corporation | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Security Life of Denver | 1 | 1,792,745 | 3.14% | A |
| Insurance Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| John Hancock Variable Life | 3 | 1,663,096 | 2.91% | A+ |
| Insurance Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Columbus Life Insurance | 2 | 1,106,469 | 1.94% | A+ |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| AXA Equitable Life Insurance | 4 | 911,516 | 1.60% | A+ |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| National Western Life | 1 | 901,908 | 1.58% | A |
| Insurance Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Lincoln Life & Annuity | 2 | 881,134 | 1.54% | A+ |
| Company of NY | | | | |
+------------------------------+----------+-------------+-----------+--------+
| MONY Life Insurance Company | 1 | 792,477 | 1.39% | A+ |
+------------------------------+----------+-------------+-----------+--------+
| Genworth Life Insurance | 1 | 638,063 | 1.12% | A |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Aviva Life and Annuity | 2 | 417,974 | 0.73% | A |
| Company of NY | | | | |
+------------------------------+----------+-------------+-----------+--------+
| North American Company for L | 2 | 411,289 | 0.72% | A+ |
| & H Insurance | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Lincoln Benefit Life Company | 1 | 403,534 | 0.71% | A+ |
+------------------------------+----------+-------------+-----------+--------+
| United of Omaha Life | 2 | 295,251 | 0.52% | A+ |
| Insurance Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Sun Life Assurance Company | 2 | 247,672 | 0.43% | A+ |
| of CA | | | | |
+------------------------------+----------+-------------+-----------+--------+
| ReliaStar Life Insurance | 2 | 239,754 | 0.42% | A |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Banner Life Insurance | 2 | 227,886 | 0.40% | A+ |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| ING Life Insurance and | 2 | 209,604 | 0.37% | A |
| Annuity Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| MONY Life Insurance Company | 1 | 194,221 | 0.34% | A+ |
| of America | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Standard Insurance Company | 1 | 149,885 | 0.26% | A |
+------------------------------+----------+-------------+-----------+--------+
| Security Mutual Life | 1 | 147,154 | 0.26% | A |
| Insurance Company of NY | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Reassure America Life | 1 | 114,939 | 0.20% | A |
| Insurance Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Phoenix Life Insurance | 1 | 75,360 | 0.13% | B+ |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| General American Life | 1 | 61,055 | 0.11% | A+ |
| Insurance Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| Beneficial Life Insurance | 1 | 35,901 | 0.06% | A- |
| Company | | | | |
+------------------------------+----------+-------------+-----------+--------+
| | | | | |
+------------------------------+----------+-------------+-----------+--------+
| | | 57,035,680 | 99.82% | |
+------------------------------+----------+-------------+-----------+--------+
+-------------------------------+---------+------------+-----------+
| | | | Portion |
| | Nominal |Investment | of |
| | | |Portfolio |
+-------------------------------+---------+------------+-----------+
| | | GBP | % |
+-------------------------------+---------+------------+-----------+
| UK Treasury 4% 7 September | 100,000 | 104,263 | 0.18% |
| 2016 | | | |
+-------------------------------+---------+------------+-----------+
| | | 104,263 | 0.18% |
+-------------------------------+---------+------------+-----------+
| | | | |
+-------------------------------+---------+------------+-----------+
| Portfolio Total | | 57,139,943 | 100.00% |
+-------------------------------+---------+------------+-----------+
NOTES TO THE CONDENSED FINANCIAL STATEMENTS
For the period from 1 September 2009 to 28 February 2010
1 Principal activity
The Company is a Guernsey registered closed-ended protected cell company
established with one Cell known as the US Traded Life Interests Fund (the "Fund"
or "Cell"). The redeemable participating preference shares (the "Shares") in the
Company are listed on the London Stock Exchange. The Company's 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").
2 Principal Accounting Policies
(a) Basis of Preparation
The condensed financial information for the six months ended 28 February 2010
has been prepared in accordance with IAS 34 'Interim Financial Reporting'. The
condensed interim financial information should be read in conjunction with the
annual financial statements for the year ended 28 February 2010, which have been
prepared in accordance with International Financial Reporting Standards.
The accounting policies applied in the condensed financial statements are
consistent with those of the annual financial statements for the period ended 31
August 2009, as described in those financial statements.
Critical accounting judgements and key sources of estimation uncertainty
The preparation of financial statements in conformity with IFRS requires
management to make judgements, estimates and assumptions that affect the
application of policies and the reported amounts of assets and liabilities,
income and expenses. The estimates and associated assumptions are based on
historical experience and various other factors that are believed to be
reasonable under the circumstances, the results of which form the basis of
making judgements about the carrying values of assets and liabilities that are
not readily apparent from other sources. Actual results may differ from these
estimates. The estimates and underlying assumptions are reviewed on an ongoing
basis. Revisions to accounting estimates are recognised in the year in which the
estimate is revised if the revision affects only that period, or in the period
of the revision and future periods if the revision affects both current and
future periods. Where such judgements are made they are discussed below.
(b) Valuation of investments
The Company invests in US Traded Life Interests ("TLIs") which it intends to
hold to maturity or until the end of the life of the Fund. All investments are
classified as fair value through profit and loss.
Recognition and basis of measurement
Purchases of investments were recognised on a trade date basis and were
initially measured at cost, being the consideration given.
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 September 2009 to 28 February 2010
2 Principal Accounting Policies
(b) Valuation of investments (continued)
Valuation
The methodology adopted by the Directors is designed to reflect the fair value
of the policies. This methodology uses a discounted cash flow method.
The value of a TLI policy is the present value of its expected net future cash
flows. The calculation uses the following data and mortality rate assumptions
provided by the Investment Manager:
· Death benefit payable under the policy;
· Premiums due under the policy;
· Mortality using the 2008 Valuation Basic Table (Ultimate) as adjusted by
third party life expectancy assessments and using a 24-month "select period'
adjustment; and
· A discount rate derived by the Investment Manager based on the US$ swap
curve plus an appropriate risk premium for each period.
There is inherent uncertainty within this mark to model basis of valuation that
this valuation will differ from the realisable value of these investments were
the TLIs to be sold at the balance sheet date.
De-recognition
The Company de-recognises a financial asset when the contractual rights to cash
flows from the financial asset expire. A financial liability is de-recognised
when the obligation specified in the contract is discharged, cancelled or
expired.
(c) Going concern
The accounts have been prepared on the going concern basis. The Directors
believe that this basis is appropriate as the Company has net assets
significantly in excess of its liabilities. The bank loan (see note 12) was
extended to 31 January 2011 on 24 February 2010. If the bank loan were to be
recalled the Directors believe that the Company could realise sufficient assets
over time in order to repay the loan, albeit at prices that would differ from
their current balance sheet value.
The Directors have reviewed the cash flow and projected income and expenses over
the next twelve months and deemed that the Company has adequate financial
resources to meet its obligations.
+--+------------------------------+----+------------------+----------+----------+
| 3 | Interest and similar | | | | |
| | income | | | | |
+--+------------------------------+----+------------------+----------+----------+
| | | | 01.09.09 | 01.07.08 | 01.07.08 |
+--+------------------------------+----+------------------+----------+----------+
| | | | to | to | to |
| | | | 28.02.10 | 31.12.08 | 31.08.09 |
+--+------------------------------+----+------------------+----------+----------+
| | | | GBP | GBP | GBP |
+--+------------------------------+----+------------------+----------+----------+
| | | | | | |
+--+------------------------------+----+------------------+----------+----------+
| | Bank deposit interest | | 199 | 21,094 | 6,543 |
+--+------------------------------+----+------------------+----------+----------+
| | Bond interest | | 1,779 | | |
| | | | | - | - |
+--+------------------------------+----+------------------+----------+----------+
| | | | | | |
+--+------------------------------+----+------------------+----------+----------+
| | Total income | | 1,978 | 21,094 | 6,543 |
+--+------------------------------+----+------------------+----------+----------+
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 September 2009 to 28 February 2010
4 Investment management and management fees
SL Investment Management Limited ("SL"), the Investment Manager, was appointed
under an agreement with the Company and other parties dated 16 March 2004, as
amended and restated on 20 July 2004. The agreement may be terminated by either
party giving not less than 12 months notice or shorter notice as the parties may
agree to accept.
With effect from 1 September 2009 the fee payable to the Investment Manager is
0.475% per annum of the Company's Net Asset Value. With effect from 1 April
2012 the fee will be reduced to 0.4% per annum of the Company's Net Asset Value.
RCM (UK) Limited, the Manager, was appointed under an agreement with the Company
dated 16 March 2004 to manage the fixed interest and near cash assets of the
Company in accordance with the investment policy and to implement the currency
hedging facility from time to time approved by the Directors. Either party
giving not less than 12 months notice may terminate the agreement.
With effect from 1 September 2009 the fee payable to the Manager is 0.425% per
annum of the Company's Net Asset Value. With effect from 1 April 2012 the fee
will be reduced to 0.4% per annum of the Company's Net Asset Value. With effect
from 1 September 2009 a separate Agreement was signed between the Company and
the Manager for the provision of Administration and Secretarial Services at a
fixed fee of GBP20,000 per annum.
+--+------------------------------+----+----------+-------------------+----------+
| 5 | Other expenses | | | | |
+--+------------------------------+----+----------+-------------------+----------+
| | | | 01.09.09 | 01.07.08 | 01.07.08 |
+--+------------------------------+----+----------+-------------------+----------+
| | | | to | to | to |
| | | | 28.02.10 | 31.12.08 | 31.08.09 |
+--+------------------------------+----+----------+-------------------+----------+
| | | | GBP | GBP | GBP |
+--+------------------------------+----+----------+-------------------+----------+
| | | | | | |
+--+------------------------------+----+----------+-------------------+----------+
| | Administration and | | 22,560 | 17,585 | 45,594 |
| | accountancy fees | | | | |
+--+------------------------------+----+----------+-------------------+----------+
| | Broker fees | | 21,327 | 3,289 | 29,344 |
+--+------------------------------+----+----------+-------------------+----------+
| | Directors' fees and | | 32,261 | 21,906 | 50,993 |
| | expenses | | | | |
+--+------------------------------+----+----------+-------------------+----------+
| | D&O Insurance | | 4,354 | 11,262 | 12,408 |
+--+------------------------------+----+----------+-------------------+----------+
| | Auditors' remuneration | | 25,861 | 18,272 | 31,249 |
+--+------------------------------+----+----------+-------------------+----------+
| | Legal fees | | 22,276 | 18,873 | 203,370 |
+--+------------------------------+----+----------+-------------------+----------+
| | Printing | | 273 | 5,521 | 5,089 |
+--+------------------------------+----+----------+-------------------+----------+
| | Safe custody fees | | 4,402 | 4,234 | 15,277 |
+--+------------------------------+----+----------+-------------------+----------+
| | Bank fees and charges | | 11,808 | 4,748 | 58,484 |
+--+------------------------------+----+----------+-------------------+----------+
| | Sundry expenses* | | 30,089 | 37,080 | 83,261 |
+--+------------------------------+----+----------+-------------------+----------+
| | | | | | |
+--+------------------------------+----+----------+-------------------+----------+
| | | | 175,211 | 138,022 | 535,069 |
+--+------------------------------+----+----------+-------------------+----------+
*Sundry expenses include mailing services, tax exempt fees, registrar fees,
stock exchange fees and other sundry costs.
6 Taxation
The Company is exempt from Guernsey Income Tax under the Income Tax (Exempt
Bodies) (Guernsey) Ordinances 1989 and 1992 and is charged an annual exemption
fee of GBP600 included in sundry expenses.
The Company, as a collective investment scheme, will be able to continue to
apply for exempt tax status under the revised company income tax regime that
came into effect on 1 January 2008.
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 September 2009 to 28 February 2010
6 Taxation (continued)
Following an Extraordinary General Meeting on 28 August 2009, it was resolved
that the Company would adopt UK tax residency from 1 September 2009 onwards.
Since that date the Company has been managed in such a way as to meet the
conditions for approval in due course as an investment trust under Section 842
of the Income and Corporation Taxes Act 1988 in respect of the accounting period
commencing on 1 September 2009.
7 (Deficit) /Return per Share
Revenue deficit per Share is based on the net deficit attributable to the Shares
of GBP555,494 (December 2008: deficit GBP661,111, August 2009: deficit
GBP1,524,889) and on the average number of Shares in issue of 40,000,000.
Capital deficit per Share is based on the net capital deficit attributable to
the Shares of GBP3,109,863 (December 2008: deficit GBP193,351, August 2009:
return GBP213,780) and on the average number of Shares in issue of 40,000,000.
8 Net Asset Value per Share
The diluted and undiluted net asset value per Share is based on net assets
attributable to Shares of GBP33,399,239 (December 2008: GBP37,518,243, August
2009: GBP37,064,596) and on the 40,000,000 Shares in issue at the period end.
+--+------------------------------+------+--------------+---------------+-------------+
| 9 | Investments | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | (a) Investments at fair value | | | |
| | through profit or loss | | | |
+--+-------------------------------------+--------------+---------------+-------------+
| | | | 01.09.09 | 01.07.08 | 01.07.08 |
+--+------------------------------+------+--------------+---------------+-------------+
| | | | to | to | to |
| | | | 28.02.10 | 31.12.08 | 31.08.09 |
+--+------------------------------+------+--------------+---------------+-------------+
| | | | GBP | GBP | GBP |
+--+------------------------------+------+--------------+---------------+-------------+
| | | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | Opening valuation | | 58,253,174 | 50,895,244 | 50,895,244 |
+--+------------------------------+------+--------------+---------------+-------------+
| | Premiums paid | | 2,644,328 | 2,683,639 | 6,459,242 |
+--+------------------------------+------+--------------+---------------+-------------+
| | Purchase of investments | | 105,430 | - | - |
+--+------------------------------+------+--------------+---------------+-------------+
| | Proceeds from the | | (4,520,892) | (4,610,915) | (9,586,000) |
| | maturities of investments | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | Realised gains on | | 2,723,148 | 2,670,192 | 4,664,216 |
| | maturities | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | Unrealised movement in | | | | |
| | (depreciation) / | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | appreciation on | | (2,065,245) | 14,414,029 | 5,820,472 |
| | revaluation of investments | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | Closing valuation | | 57,139,943 | 66,051,919 | 58,253,174 |
+--+------------------------------+------+--------------+---------------+-------------+
| | | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | Comprising:- | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | Closing book cost | | 57,666,591 | 55,919,765 | 56,714,577 |
+--+------------------------------+------+--------------+---------------+-------------+
| | Closing unrealised | | | | |
| | (depreciation) / | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | appreciation | | (526,648) | 10,132,154 | 1,538,597 |
+--+------------------------------+------+--------------+---------------+-------------+
| | | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
| | Closing valuation | | 57,139,943 | 66,051,919 | 58,253,174 |
+--+------------------------------+------+--------------+---------------+-------------+
| | | | | | |
+--+------------------------------+------+--------------+---------------+-------------+
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 September 2009 to 28 February 2010
9.Investments (continued)
+--+------------------------------+------+-------------+---------------+-------------+
| | (b) Net gain/(loss) on | | 01.09.09 | 01.07.08 | 01.07.08 |
| | investments held | | | | |
+--+------------------------------+------+-------------+---------------+-------------+
| | at fair value through profit | | to | to | to |
| | or loss | | 28.02.10 | 31.12.08 | 31.08.09 |
+--+------------------------------+------+-------------+---------------+-------------+
| | | | GBP | GBP | GBP |
+--+------------------------------+------+-------------+---------------+-------------+
| | | | | | |
+--+------------------------------+------+-------------+---------------+-------------+
| | Realised gain on maturities | | 2,723,148 | 2,670,192 | 4,664,216 |
+--+------------------------------+------+-------------+---------------+-------------+
| | | | | | |
+--+------------------------------+------+-------------+---------------+-------------+
| | Unrealised movement in | | | | |
+--+------------------------------+------+-------------+---------------+-------------+
| | (depreciation)/appreciation | | (2,065,245) | 14,414,029 | 5,820,472 |
| | on revaluation of | | | | |
| | investments | | | | |
+--+------------------------------+------+-------------+---------------+-------------+
| | | | | | |
+--+------------------------------+------+-------------+---------------+-------------+
| | | | 657,903 | 17,084,221 | 10,484,688 |
+--+------------------------------+------+-------------+---------------+-------------+
+--+------------------------------+------+----------+------------+------------+
| 10 | Other receivables | | | | |
+--+------------------------------+------+----------+------------+------------+
| | | |28.02.10 | 31.12.08 | 31.08.09 |
+--+------------------------------+------+----------+------------+------------+
| | | | GBP | GBP | GBP |
+--+------------------------------+------+----------+------------+------------+
| | | | | | |
+--+------------------------------+------+----------+------------+------------+
| | Sundry debtors | | 15,640 | 2,879 | 11,348 |
+--+------------------------------+------+----------+------------+------------+
| | Maturity proceeds receivable | | - | 4,101,442 | 4,609,711 |
+--+------------------------------+------+----------+------------+------------+
| | Accrued income | | 1,901 | 194 | - |
| | | | | | |
+--+------------------------------+------+----------+------------+------------+
| | | | | | |
+--+------------------------------+------+----------+------------+------------+
| | | | 17,541 | 4,104,515 | 4,621,059 |
+--+------------------------------+------+----------+------------+------------+
+--+------------------------------+------+----------+----------+----------+
| 11 | Other payables | | | | |
+--+------------------------------+------+----------+----------+----------+
| | | |28.02.10 |31.12.08 |31.08.09 |
+--+------------------------------+------+----------+----------+----------+
| | | | GBP | GBP | GBP |
+--+------------------------------+------+----------+----------+----------+
| | | | | | |
+--+------------------------------+------+----------+----------+----------+
| | Accrued expenses | | 174,728 | 207,209 | 435,398 |
+--+------------------------------+------+----------+----------+----------+
| | | | | | |
+--+------------------------------+------+----------+----------+----------+
| | | | 174,728 | 207,209 | 435,398 |
+--+------------------------------+------+----------+----------+----------+
12 Loan facility
The Company has in place a loan agreement, dated 16 March 2009, with Allied
Irish Banks plc. Under this agreement the Company initially borrowed US$28
million as an amortising term loan and could borrow up to US$10 million under a
revolving credit facility. As of 31 August 2009, the balances outstanding were
US$28 million and US$5,447,000 respectively. (As of 31 December 2008 total
borrowings had amounted to US$32 million under a previous agreement with Allied
Irish Banks plc.
Since this loan agreement was due to expire on 16 March 2010, on 24 February
2010 it was extended to 31 January 2011 and the US$ 10 million revolving credit
facility renewed. By 28 February 2010, the balance on the amortising term loan
had fallen to US$23,156,000 and US$2 million had been drawn down under the
revolving credit facility.
The extension and renewal of the agreement did not involve any significant
changes to its terms and conditions. Interest is payable on outstanding balances
at LIBOR plus 2% in relation to the amortising term loan and at LIBOR plus 2.5%
in relation the revolving credit facility.
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 September 2009 to 28 February 2010
12 Loan facility (continued)
It is the Company's intention to repay all loans with proceeds from the maturity
of TLIs, but were it necessary, the Company could sell TLIs in order to repay
these loans. It is noted that the valuation methodology does not assume sales of
TLIs, rather that they would be held to maturity. In the event of a sale, the
proceeds received would in all likelihood be lower than the valuation.
+--+------------------------------+------------+--------------+-------------+--------------+
| 13 | Reserves | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
| | | Capital | Revenue | |
| | | Reserve | | |
+--+------------------------------+---------------------------+-------------+--------------+
| | | Realised | Unrealised | Reserves | Total |
+--+------------------------------+------------+--------------+-------------+--------------+
| | | 28.02.10 | 28.02.10 | 28.02.10 | 28.02.10 |
+--+------------------------------+------------+--------------+-------------+--------------+
| | | GBP | GBP | GBP | GBP |
+--+------------------------------+------------+--------------+-------------+--------------+
| | | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
| | Opening balance | 8,329,265 | (5,940,372) | (4,492,533) | (2,103,640) |
+--+------------------------------+------------+--------------+-------------+--------------+
| | Realised gain on | 2,723,148 | - | - | 2,723,148 |
| | maturities | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
| | Movement in unrealised | - | (2,065,245) | - | (2,065,245) |
| | depreciation on | | | | |
| | investments | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
| | Movement in unrealised | - | (3,000,191) | - | (3,000,191) |
| | currency loss on | | | | |
| | forward foreign currency | | | | |
| | contracts | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
| | Movement in unrealised | - | (767,575) | - | (767,575) |
| | currency losses | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
| | Revenue deficit for the | - | - | (555,494) | (555,494) |
| | period | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
| | | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
| | Closing balance | 11,052,413 | (11,773,383) | (5,048,027) | (5,768,997) |
+--+------------------------------+------------+--------------+-------------+--------------+
| | | | | | |
+--+------------------------------+------------+--------------+-------------+--------------+
+--+------------------------------+-----------+--------------+-------------+--------------+
| | | Capital | Revenue | |
| | | Reserve | | |
+--+------------------------------+--------------------------+-------------+--------------+
| | | Realised | Unrealised | Reserves | Total |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | | 31.12.08 | 31.12.08 | 31.12.08 | 31.12.08 |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | | GBP | GBP | GBP | GBP |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | | | | | |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | Opening balance | 3,665,049 | (1,489,936) | (2,967,644) | (792,531) |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | Realised gain on | 2,670,192 | - | - | 2,670,192 |
| | maturities | | | | |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | Movement in unrealised | - | 14,414,029 | - | 14,414,029 |
| | appreciation on | | | | |
| | investments | | | | |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | Movement in unrealised | - | (12,258,951) | - | (12,258,951) |
| | currency loss on | | | | |
| | forward foreign currency | | | | |
| | contracts | | | | |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | Movement in unrealised | - | (5,021,621) | - | (5,021,621) |
| | currency losses | | | | |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | Revenue deficit for the | - | - | (661,111) | (661,111) |
| | period | | | | |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | | | | | |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | Closing balance | 6,335,241 | (4,346,479) | (3,628,755) | (1,649,993) |
+--+------------------------------+-----------+--------------+-------------+--------------+
| | | | | | |
+--+------------------------------+-----------+--------------+-------------+--------------+
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period 1 September 2009 to 28 February 2010
+--+------------------------------+-----------+-------------+-------------+----------------+
| 13| Reserves (continued) | | | | |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | | Capital | Revenue | |
| | | Reserve | | |
+--+------------------------------+-------------------------+-------------+----------------+
| | | Realised | Unrealised | Reserves | Total |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | | 31.12.09 | 31.12.09 | 31.12.09 | 31.12.09 |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | | GBP | GBP | GBP | GBP |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | | | | | |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | Opening balance | 3,665,049 | (1,489,936) | (2,967,644) | (792,531) |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | Realised gain on | 4,664,216 | - | - | 4,664,216 |
| | maturities | | | | |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | Movement in unrealised | - | 5,820,472 | - | 5,820,472 |
| | appreciation on | | | | |
| | investments | | | | |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | Movement in unrealised | - | (7,025,749) | - | (7,025,749) |
| | currency loss on | | | | |
| | forward foreign currency | | | | |
| | contracts | | | | |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | Movement in unrealised | - | (3,245,159) | - | (3,245,159) |
| | currency losses | | | | |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | Revenue deficit for the | - | - | (1,524,889) | (1,524,889) |
| | period | | | | |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | | | | | |
+--+------------------------------+-----------+-------------+-------------+----------------+
| | Closing balance | 8,329,265 | (5,940,372) | (4,492,533) | (2,103,640) |
+--+------------------------------+-----------+-------------+-------------+----------------+
14 Related party transactions
Fees earned by the Directors of the Company during the period were GBP31,397 of
which GBP10,538 was outstanding at the period end (December 2008: GBP21,530 of
which GBPnil was outstanding at the period end, August 2009: (14 months):
GBP49,584 of which GBP7,083 was outstanding at the period end).
15 Forward currency contracts
The forward foreign exchange contracts in place have resulted in a balance of
unrealised foreign exchange loss of GBP8,720,808 at the period end (December
2008: GBP10,953,819 loss, August 2009: GBP5,720,617 loss). As a result the
movement in unrealised foreign exchange loss on forward contracts during the
period was a loss of GBP3,000,191 (December 2008: GBP12,258,951 loss, August
2009: GBP7,025,749 loss), which is included under 'Other foreign exchange
losses' on the face of the Condensed Income Statement.
The Company also incurred currency foreign exchange losses during the period of
GBP767,575 (December 2008: GBP5,021,621, August 2009 GBP3,245,159 loss). These
losses arose predominantly on the revaluation of the Company's US$ denominated
borrowings (see Note 12) and are also included under 'Other foreign exchange
losses' on the face of the Condensed Income Statement.
In total, the Company incurred foreign exchange losses of GBP3,767,766 (December
2008: GBP17,280,572 loss, August 2009: GBP10,270,908 loss). These losses are
offset by the foreign exchange gain made on the underlying portfolio of TLI
policies.
This information is provided by RNS
The company news service from the London Stock Exchange
END
IR PGUUUCUPUGQU
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