TIDMTLI
RNS Number : 4913W
Alternative Asset Opps PCC Ltd
19 November 2010
19 November 2010
Alternative Asset Opportunities PCC Limited
(the "Company")
Interim Management Statement
This interim management statement relates to the period from 1
July 2010 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 US Traded
Life Interests ("TLIs").
Financial position and performance
Over the period to 30 September 2010, the Company's net asset
value per share decreased by 6.3% to 77.4 pence. As at 30 September
2010, the shares were trading at a 29.5% discount to net asset
value.
No mortalities were accounted for in the period. We have
recently been notified of two policy maturities, which will be
accounted for at the end of November 2010. It is estimated that
these will add circa 1.5 pence to the NAV per share. There will
then have been, in aggregate, 26 policy maturities since the Fund's
inception.
The Company's loan agreement with Allied Irish Banks plc was
renewed in February 2010, and this provides the Company with the
ability to borrow up to US$33,156,000 until 31 January 2011. As of
30 September 2010 total borrowings under the agreement amounted to
US$28,048,000.
The Board is not aware of any other material events during the
period from 1 July 2010 to 30 September 2010, or in the period from
1 October 2010 to the date of this announcement, which would have
had a material impact on the financial position of the Company.
Illustrative predicted yields
The tables below give a range of outcomes on differing
assumptions about the portfolio. The Board will continue to analyse
the information available to it to ensure valuations are soundly
based.
31 December 2012 31 December 2016
----------------------------------------- ------------------------------------------
IRR IRR IRR IRR
------- -------- -------- --------
LE Remaining Remaining
Variation change Policies Shares Policies Shares
in mortality (years) surviving in issue 100% 70% surviving in issue 100% 70%
--------------- -------- ---------- ---------- ------- -------- ---------- ---------- -------- --------
100% 0.00 69.7% 96.0% 13.40% -3.22% 31.9% 37.0% 9.87% 3.78%
--------------- -------- ---------- ---------- ------- -------- ---------- ---------- -------- --------
80% +1.20 74.7% 100.0% 8.06% -7.78% 39.1% 61.5% 5.11% -0.72%
--------------- -------- ---------- ---------- ------- -------- ---------- ---------- -------- --------
50% +4.12 83.0% 100.0% -1.53% -15.96% 54.1% 100.0% -4.25% -9.56%
--------------- -------- ---------- ---------- ------- -------- ---------- ---------- -------- --------
30% +8.00 89.3% 100.0% -9.39% -22.67% 68.0% 100.0% -19.89% -24.34%
--------------- -------- ---------- ---------- ------- -------- ---------- ---------- -------- --------
Ignore
Medical
Underwriting n/a 81.7% 100.0% 2.09% -12.87% 44.4% 83.8% 3.29% -2.44%
------------- -------- ---------- ---------- ------- -------- ---------- ---------- -------- --------
100%
mortality
projected
from
Share
Price 0.00 69.7% 100.0% 32.54% 13.11% 31.9% 37.0% 16.22% 9.77%
------------- -------- ---------- ---------- ------- -------- ---------- ---------- -------- --------
Notes
1. The base case (100%) assumes that claims experience matches
the valuation basis in force at 30 September 2010. The other
scenarios assume the mortality experience is worse than expected.
(e.g. 110% means that if one expected 10 deaths, one instead
experiences 11) or lower (e.g. 80% means that if one expected 10
deaths, but 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 September 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 is available beyond that required for premium reserves. This
column represents the number of shares still in issue and not
repurchased at the relevant date.
5. This shows how the return varies for a shareholder holding
the shares between 30 September 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 77.4 pence per share.
6. Return based on winding up at the relevant date assuming that
the net realised proceeds of assets is 100% of the valuation
calculated in accordance with the valuation basis in force at 30
September 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 30
September 2010.
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. These figures
are projected from the current NAV.
9. Return to investor from share price at 30 September 2010
(54.5 pence per share)
Source: SL Investment Management Limited
Top ten holdings
By reference to the most recent portfolio valuation of the
Company as at 30 September 2010, the largest ten investments held
by the Company, measured by life office exposure, were as
follows:
% of total
assets as at
Number 30 September
Issuer of policies 2010
American General Life Insurance Company (TX) 13 16.37%
---------------------------------------------- -------------
Lincoln National Life Insurance Co 18 14.00%
---------------------------------------------- -------------
Transamerica Life Insurance Company 21 13.08%
---------------------------------------------- -------------
John Hancock Life Insurance Company 13 9.17%
---------------------------------------------- -------------
Massachusetts Mutual Life Insurance Co 10 9.15%
---------------------------------------------- -------------
Aviva Life and Annuity Company 6 6.45%
---------------------------------------------- -------------
Pacific Life Insurance Company 6 5.39%
---------------------------------------------- -------------
MetLife Insurance Company of Connecticut 8 4.45%
---------------------------------------------- -------------
New York Life Insurance and Annuity Corp 6 3.57%
---------------------------------------------- -------------
Security Life of Denver Insurance Co 1 3.24%
---------------------------------------------- -------------
Company Information
Launch date 25 March 2004
EPIC TLI
Year end 30 June (from 2010 onwards)
Report & Accounts 2010 Annual Report posted October, Interim
posted ?February
AGM November
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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