TIDMTLI
RNS Number : 7216B
Alternative Asset Opps PCC Ltd
23 February 2011
ALTERNATIVE ASSET OPPORTUNITIES PCC LIMITED
Half-Yearly Announcement of Results
For the period from 1 July 2010 to 31 December 2010
At a meeting of the Board of Directors held on 21 February 2011,
the unaudited half yearly accounts for the Company for the period
from 1 July 2010 to 31 December 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 from 1
July 2010 to 31 December 2010, but is derived from those accounts.
Printed accounts for the period from 1 July 2010 to 31 December
2010 will be delivered to Shareholders during March 2011.
The financial statements have been prepared in accordance with
International Financial Reporting Standards (IFRS). Whilst the
financial information included in this 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 March 2011. 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 from 1 July 2010 to
31 December 2010.
P W I Ingram
Company Secretary
Telephone number: 020 7065 1467
155 Bishopsgate
London EC2M 3AD
23 February 2011
INVESTOR INFORMATION
For the period from 1 July 2010 to 31 December 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 such that
the requirement to wind up the Fund on 31 March 2012 was replaced
by an obligation to offer shareholders the opportunity to vote on
the continuation of the Fund at the Annual General Meeting in 2012
and annually thereafter.
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 UK tax regime.
The Company's redeemable participating preference shares (the
"Shares") were admitted to the Official List of the UK Listing
Authority and commenced trading on the London Stock Exchange on 25
March 2004.
The interim financial information for the period from 1 July
2010 to 31 December 2010 has not been audited or reviewed in
accordance with International Standard on Review Engagement 2410
issued by the Auditing Practices Board. The financial information
for the period from 1 September 2009 to 30 June 2010 is derived
from the financial statements delivered to the UK Listing Authority
and do not constitute statutory accounts within the meaning of
section 243 of The Companies (Guernsey) Law, 2008. The Auditors
reported on these accounts, their report was unqualified, although
it included an emphasis of matter paragraph in connection with the
valuation of traded life interests, but did not contain a statement
under Section 263 (2) of The Companies (Guernsey) Law, 2008.
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").
INVESTOR INFORMATION (CONTINUED)
For the period from 1 July 2010 to 31 December 2010
Directors Registrar
CPG Tracy (Chairman) Capita Registrars (Guernsey)
DIW Reynolds (Chairman of the Limited
Audit Committee) Longue Hougue House
JPHS Scott St Sampson
SM Zein Guernsey GY2 4JN
Registered Office Investment Manager
Dorey Court, Admiral Park SL Investment Management Limited
St Peter Port 8/11 Grosvenor Court
Guernsey GY1 3BG Foregate Street
Chester CH1 1HG
Manager Banker and Custodian
RCM (UK) Limited Kleinwort Benson (Guernsey) Limited
155 Bishopsgate Dorey Court, Admiral Park
London EC2M 3AD 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
Represented by PWI Ingram FCIS Salt Lake City
UT 84111-2263
Administrator Legal Advisers (Guernsey)
Kleinwort Benson (Channel Islands) Carey Olsen
Fund Services Limited Carey House
Dorey Court, Admiral Park Les Banques
St Peter Port St Peter Port
Guernsey GY1 3BG Guernsey GY1 4BZ
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 July 2010 to 31 December 2010
Directors
The Directors have been chosen for their investment and
commercial experience and are listed below:
Charles Tracy, Chairman, (aged 65) 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, the
President of the Guernsey Tax Tribunal and Chairman of the Board of
the Guernsey Banking Deposit Compensation Scheme. He is a resident
of Guernsey.
Ian Reynolds (aged 67) is a former Chief Executive of Commercial
Union Life Assurance Company. He is a director of Liverpool
Victoria Friendly Society and of The Equitable Life Assurance
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 58) is currently a director of several UK
investment trusts and is Chairman of Scottish Mortgage Investment
Trust PLC and of Dunedin Income Growth Investment Trust PLC. Mr
Scott held a number of senior appointments at Lazard Brothers &
Co., Limited between 1981 and 2001. 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) is currently Managing Director, Head of
Institutional and Corporate Solutions, Americas, of Standard Bank
in New York. Mr Zein was formerly a Senior Managing Director of
Aladdin Capital Management UK LLP. Prior to this, his career was
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 US 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 Manager
RCM (UK) Limited, which is authorised and regulated in the
United Kingdom by the Financial Services Authority, is manager of a
number of closed-ended investment companies with approximately
GBP1.1 billion of such assets under management in a range of
investment companies and investment trusts as at 31 December
2010.
The Manager is responsible for managing the cash and fixed
interest holdings of the Fund, and foreign currency hedging.
RESPONSIBILITY STATEMENT
For the period from 1 July 2010 to 31 December 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 Disclosure
and Transparency Rule 4.2.7R (indication of important events during
the first six months, and their impact on the financial statements,
and a 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 Disclosure and Transparency Rule 4.2.8R
(disclosure of related party transactions and changes therein).
By order of the Board
DIW Reynolds JPHS Scott
Director Director
21 February 2011
FINANCIAL HIGHLIGHTS
For the period 1 July 2010 to 31 December
2010
-------------------------------------------- -------------- --------------
01.07.10 01.09.09 01.09.09
to 31.12.10 to 28.02.10 to 30.06.10
(6 months) (6 months) (10 months)
Shares in issue 40,000,000 40,000,000 40,000,000
Net Assets at
period end GBP32,593,476 GBP33,399,238 GBP33,049,370
Net asset value per Share
at period end (see note
below) 81.5p 83.5p 82.6p
Total deficit on ordinary
activities for the (1.14p) (9.17p) (10.04p)
financial period
per Share
Revenue deficit per Share (1.39p) (1.39p) (2.28p)
The half-yearly financial report has neither been audited nor
reviewed by the Company's auditors. The financial information for
the period ended 30 June 2010 has been extracted from the audited
financial statements for that period.
Dividends
The Directors do not propose a dividend for the period from 1
July 2010 to 31 December 2010.
CHAIRMAN'S STATEMENT
For the period from 1 July 2010 to 31 December 2010
Introduction
This statement covers the six months from 1 July 2010. It has
been a period of slow but steady progress. Specifically, it should
be noted that net current assets have improved by some GBP3
million, reflecting a surplus of maturity proceeds over other
outgoings. A significant balance of maturity proceeds was
outstanding as at 31 December, but has been received since the
period end.
Portfolio developments
A summary of portfolio maturities since inception is given in
the following table:
Period 40 months 12 months 14 months 10 months 6 months
------------- ----------- ----------- ----------- ----------- -----------
Inception
- 01/07/07 - 01/07/08 - 01/09/09 - 01/07/10 -
Dates 30/06/07 30/06/08 31/08/09 30/06/10 31/12/10
------------- ----------- ----------- ----------- ----------- -----------
Number of
policies
matured 7 6 7 4 4
------------- ----------- ----------- ----------- ----------- -----------
Value of
policies
matured ($
million) $9.3m $3.9m $14.8m $10.7m $9.8m
------------- ----------- ----------- ----------- ----------- -----------
Total
premiums
paid ($
million) $18.8m $9.0m $10.5m $7.3m $4.6m
------------- ----------- ----------- ----------- ----------- -----------
During the six month period to 31 December 2010, 4 policy
maturities were identified, with a total face value of US$ 9.8
million. This compares with 4 policies with a face value of US$
10.7 million in the 10 month period to 30 June 2010, and 20
policies with a total face value of US$ 28.0 million, in the period
from the Company's launch to 31 August 2009. While the number of
maturities remains disappointing, some large policies matured
during the period, with the result that proceeds substantially
exceeded cash outflows for premiums.
The realised gains on maturing policies amounted to
approximately US$2.4 million in the period, or 3.6p per share. The
net effect of portfolio revaluations, allowing for the updated LEs
as referred to below, and after adjustment for the reduced losses
on foreign exchange contracts, was almost the same, resulting in a
minimal change on capital account, as shown in the Condensed
Statement of Comprehensive Income on page 14.
A maturity has been confirmed since 31 December 2010, but not
yet formally certified, with a total face value of US$1.7
million.
As at 31 December 2010 there were a total of 131 policies in the
portfolio, with a face value of US$ 208.0 million and a valuation
of US$ 81.8 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$ 4.6
million during the half year.
The principal issues facing the Company, that is to say
valuation, 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.
CHAIRMAN'S STATEMENT (continued)
For the period from 1 July 2010 to 31 December 2010
Valuation (continued)
Past reports have described changing views on life expectancy
from the main US life assessors. The Company has continued its
stated practice of obtaining updated LE assessments on a portion of
policies in the portfolio. To date a total of 47 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.
In common with many funds in this sector, rates of mortality
continue to be significantly below those originally assumed. 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 combines swap yields, to
represent market interest rates, with a risk premium 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 continue to be
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 is currently 9.9% (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 review.
In my last Chairman's Statement, I noted that the valuation
model at that time made no allowance for the possibility that
policies could continue beyond the date of the final premium
payment, which typically occurs at a fixed age, such as 100. The
valuation model assumed that the policy was worthless one month
beyond that date. However, for the majority of policies in the
portfolio benefits do continue, or can be extended beyond this
date. Although the probability of an individual policy reaching the
final premium date is low, the ageing of the portfolio and the
upward revision of LEs mean that there are now policies where the
value of benefits after the premium end date is starting to become
material. Having commissioned a detailed analysis of the portfolio,
the Board concluded that it was appropriate to incorporate this
factor into the valuation basis. The impact of this exercise was to
increase the valuation of the portfolio overall by 1.3%.
CHAIRMAN'S STATEMENT (continued)
For the period from 1 July 2010 to 31 December 2010
Valuation (continued)
The table of predicted annual rates of return set out below, as
before, gives shareholders the opportunity to see the effect on
portfolio values 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
------------- ----------- --------------------------------------------- ---------------------------------------------
Remaining Remaining
Variation in LE change Policies Shares in Policies Shares in
mortality(1) (years)(2) surviving(3) issue(4) IRR(5) IRR(5) surviving(3) issue(4) IRR(5) IRR(5)
------------- ----------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
100%(6) 70%(7) 100%(6) 70%(7)
------------- ----------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
100% 0.00 73.5% 100.0% 12.86% -5.58% 34.1% 40.4% 9.62% 3.29%
------------- ----------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
80% 1.20 78.1% 100.0% 7.91% -9.72% 41.5% 64.3% 5.17% -0.90%
------------- ----------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
50% 4.12 85.5% 100.0% -0.63% -16.86% 56.5% 100.0% -3.05% -8.64%
------------- ----------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
30% 8.00 91.0% 100.0% -7.26% -22.40% 70.2% 100.0% -14.19% -19.14%
------------- ----------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
Notes:
1. The central case (100%) assumes that claims experience
matches the valuation basis in force at 31 December 2010. The other
scenarios assume the mortality experience is lower.
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 31 December 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 issue and not
repurchased at the relevant date.
5. This shows how the return varies for a shareholder holding
the shares between 31 December 2010 and the relevant date (31
December 2012 or 31 December 2016) based on the growth in the NAV
per share. The NAV at 31 December 2010 was 81.5 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 31 December
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 31
December 2010.
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 31 December 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 31 December 2010 of 49.5p per
share.
31 December 2012 31 December 2016
------ --------------------------------------------- --------------------------------------------
Remaining Remaining
Policies Shares in Policies Shares in
Base surviving(3) issue(4) IRR(5) IRR(5) surviving(3) issue(4) IRR(5) IRR(5)
------ ------------- ---------- -------- -------- ------------- ---------- -------- -------
100%(6) 70%(7) 100%(6) 70%(7)
------ ------------- ---------- -------- -------- ------------- ---------- -------- -------
A. 81.7% 100% 6.29% -11.07% 44.4% 72.2% 5.23% -0.85%
------ ------------- ---------- -------- -------- ------------- ---------- -------- -------
B. 73.5% 100.0% 44.80% 21.15% 34.1% 40.4% 19.11% 12.24%
------ ------------- ---------- -------- -------- ------------- ---------- -------- -------
CHAIRMAN'S STATEMENT (continued)
For the period from 1 July 2010 to 31 December 2010
Gearing
During the six month period the Company's total borrowings rose
from US$24,048,000 to US$27,048,000. Following the subsequent
repayment of maturity proceeds of US$6,755,000 to Allied Irish
Banks plc, borrowings had been reduced to US$20,293,000 as at 31
January 2011. The Company's borrowing agreement with Allied Irish
Banks plc has been extended until 31 July 2011, and this provides
the Company with the ability to borrow up to a further
US$6,000,000.
Hedging
As at 31 December 2010 the Company had sold forward net
US$71,000,000 to March 2012. Since the period end the Company has
bought back US$5,000,000 to the same date, reducing the net
position to US$66,000,000. This is consistent with projected dollar
cash flows. The unrealised loss on these contracts fell by GBP1.76
million in the period as Sterling strengthened against the US
Dollar.
Related Party Transactions
There have been no changes to the related party arrangements or
transactions as reported in the statutory Annual Financial Report
for the period ended 30 June 2010.
Statement of Principal Risks and Uncertainties
The Company's assets consist mainly of US Traded Life Interests
and its principal risks are market and longevity risk, currency
risk, interest rate risk and credit risk. These risks, and the way
they are managed, are described in more detail within the
Directors' Report in the Company's Annual Financial Report for the
period ended 30 June 2010. The Company's principal risks and
uncertainties have not changed since the date of that report.
Outlook
The present state of the TLI market reinforces the Board's
belief that the best approach is to hold policies in its high
quality portfolio to maturity rather than seek early
liquidation.
CPG Tracy
Chairman
21 February 2011
INVESTMENT MANAGER'S REVIEW
For the period from 1 July 2010 to 31 December 2010
Market Review
We had expected more buoyant market conditions in the second
half of 2010, but in the event the recovery in the market was only
modest. Although we believe that the life settlement market
continues to offer attractive opportunities, investors have tended
to favour better-understood traditional investment classes. In
addition, the supply of bank credit has not yet recovered to the
levels seen prior to 2008. This has resulted in a difficult
environment in which to raise new capital.
A large proportion of transactions during 2010 were therefore
trades in the tertiary market, as existing holders of Life
Settlement policies looked to raise liquidity to fund future
premium commitments. Based on known offers, achievable yields
remained at similar levels to those at the start of 2010. High
quality policies traded in the 14-16% range with the less desirable
policies (larger cases, those issued by lower rated carriers and
those on lives with longer life expectancies) trading at IRRs in
the high teens or low twenties. There has been improved sentiment
expressed by certain market participants, especially in the wake of
recent Private Equity activity in the market; however we have no
evidence to support this in the form of improved bids or activity.
There remains almost no market for premium finance or beneficial
interest policies at present.
None of the constituents of the AAO portfolio are premium
financed nor are any involved in a beneficial interest
programme.
The credit ratings of US life companies remain robust, with no
life company rating changes affecting AAO during the period. 99% of
the portfolio is split across life companies currently possessing
an A.M. Best rating of A or higher. This figure has not changed
significantly for some time. 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 July 2010 to 31 December 2010
four policy maturities (all male) were confirmed, releasing $9.8m
in death benefits. As at 31 December 2010, 131 policies were in the
Fund's portfolio secured on 110 individual lives.
From inception to 31 December 2010, there have been 28 policy
maturities in respect of 24 lives. Proceeds from these maturities
total $48.7m, realising a $23.6m gain.
The expected cost of premiums for the remaining six months of
the period ending 30 June 2010 is $4.1m and in the following
accounting year ending 30 June 2012 $9.4m, assuming no maturities
during this time.
Portfolio Summary
Death Benefits $208m
---------------------------------- ----------
Investment Value $82m
---------------------------------- ----------
Male / Female Ratio 62% / 38%
---------------------------------- ----------
Number of Holding Life Companies 31
---------------------------------- ----------
Averages weighted by Death Benefits
Age at purchase 82.2 years
------------------------------------ -----------
Age at valuation 87.6 years
------------------------------------ -----------
Pricing Life Expectancy at purchase 7.7 years
------------------------------------ -----------
Current Life Expectancy 5.4 years
------------------------------------ -----------
INVESTMENT MANAGER'S REVIEW
For the period from 1 July 2010 to 31 December 2010
Life Group (Parent Company) Distribution (Top 5)
Ranking by % Total Death
Valuation Parent Company Benefits % Investment Value
------------------- -------------------- -------------- -------------------
Lincoln Financial
1 Group 19.1% 16.3%
------------------- -------------------- -------------- -------------------
2 AIG Life Group 17.3% 17.6%
------------------- -------------------- -------------- -------------------
3 AEGON USA Group 13.0% 12.9%
------------------- -------------------- -------------- -------------------
MassMutual
4 Financial Group 9.7% 9.7%
------------------- -------------------- -------------- -------------------
Manulife Financial
5 Group 8.1% 8.9%
------------------- -------------------- -------------- -------------------
Credit Quality Distribution by Holding Life Company
AM Best Rating % Total Death Benefits % Investment Value
---------------- ----------------------- -------------------
A++ 13.4% 13.5%
---------------- ----------------------- -------------------
A+ 57.7% 54.1%
---------------- ----------------------- -------------------
A 28.3% 31.9%
---------------- ----------------------- -------------------
A- 0.5% 0.4%
---------------- ----------------------- -------------------
B++ 0.0% 0.0%
---------------- ----------------------- -------------------
B+ 0.1% 0.1%
---------------- ----------------------- -------------------
Minimum rating in portfolio: B+
Outlook
The global credit crisis, the changes to LE underwriter
mortality tables and negative media coverage have served to
dramatically alter the profile of the average investor in this
asset class. Some of the investment banks that previously had a
large presence in the market have reduced the size of their
operations, in many cases placing them into a run-off mode. In
their place a wide range of private equity firms, hedge funds and
smaller investment vehicles are starting to appear.
In addition, it is likely that the market will see more
investment from Asia and the Middle East. Historically, most of the
capital invested into this asset class has come from the US and
Europe. But in recent months many of the major players have
increased their marketing efforts further afield and these should
produce results in the coming months.
The various obstacles to launching new funds in acceptable
domiciles are leading to delays but a large number will likely
receive approval and start buying in the near future. This
increased number of investors should lead to healthy competition
for policies as the year progresses with market prices likely to
rise as a result.
The Company continues to update Life Expectancies (LEs) for
policies in the portfolio. During the period, updated LEs were
received for lives affecting 7 policies in the portfolio.
To date a total of 47 policies have been re-assessed and the
results have been incorporated into the valuation. 4 of the
policies have subsequently exited the portfolio. The 31 December
2010 valuation of the remaining 43 policies with updated LEs is
US$40.3m, which represents 49.3% of the 31 December 2010 total
policy valuation. The LE update programme will continue during
2011.
SL Investment Management Limited
21 February 2011
MANAGER'S REVIEW
For the period from 1 July 2010 to 31 December 2010
Borrowings and Investments
As at the period end, 31 December 2010, the Company had drawn
down US$23,156,000 under the amortising term loan facility with
Allied Irish Banks and US$3,891,662 under the revolving credit
facility, resulting in total borrowings of US$27,047,662. Since the
period end, the Company has repaid a total of US$6,755,000 from
maturing policies.
As announced on 19 January 2011, the Company's loan agreement
with Allied Irish Banks has been extended to 31 July 2011. This
initially provided the Company with further funding of US$6
million.
The primary covenant under the loan agreement obliges the
Company to maintain cover (i.e. asset value, subject to certain
adjustments, divided by borrowings) above 2.5 times. As at 31
December 2010 cover was 3.0 times.
The Company has retained its GBP100,000 holding of UK Treasury
4% 2016.
Currency Hedging
The Company hedges its US dollar exposure by means of forward
sales of US dollars. As at 31 December 2010 US$71 million, net, had
been sold for 30 March 2012. Since then, in order to maintain broad
consistency with expected cash flows, this had been reduced to a
net forward sale of US$66 million.
As at 31 December 2010 the outstanding loss on the net forward
position, marked to market, amounted to GBP7,742,573.
RCM (UK) Limited
21 February 2011
CONDENSED STATEMENT OF COMPREHENSIVE INCOME
For the period from 1 July 2010 to 31 December 2010
01.07.10 to 31.12.10 01.09.09 to 28.02.10 01.09.09 to 30.06.10
------ -------------------------------------- -------------------------------------- ----------------------------------------
Notes Revenue Capital Total Revenue Capital Total Revenue Capital Total
GBP GBP GBP GBP GBP GBP GBP GBP GBP
Operating income
Net (losses) /
gains on
investments 9 - (2,264,736) (2,264,736) - 657,903 657,903 - 1,644,708 1,644,708
Other foreign
exchange gains /
(losses) 13&15 - 2,363,616 2,363,616 - (3,767,766) (3,767,766) - (10,270,908) (10,270,908)
Interest and
similar income 3 2,143 - 2,143 1,978 - 1,978 3,454 - 3,454
---------- ------------ ------------ ---------- ------------ ------------ ---------- ------------- -------------
Operating
expenses
Management fee 4 (71,307) - (71,307) (73,199) - (73,199) (70,607) - (70,607)
Investment
manager's fee 4 (80,504) - (80,504) (86,565) - (86,565) (141,863) - (141,863)
Custodian fee (9,384) - (9,384) (8,656) - (8,656) (13,044) - (13,044)
Other expenses 5 (186,283) - (186,283) (175,211) - (175,211) (332,737) - (332,737)
Total operating
expenses
before finance
costs (347,478) - (347,478) (343,631) - (343,631) (558,251) - (558,251)
Operating
(loss)/profit
before finance
costs (345,335) 98,880 (246,455) (341,653) (3,109,863) (3,451,516) (554,797) (3,102,254) (3,657,051)
Finance costs
Loan Interest
payable 12 (209,439) - (209,439) (213,841) - (213,841) (358,175) - (358,175)
Net
(deficit)/return (554,774) 98,880 (455,894) (555,494) (3,109,863) (3,665,357) (912,972) (3,102,254) (4,015,226)
========== ============ ============ ========== ============ ============ ========== ============= =============
(Deficit)/Return
per share 7 (1.39p) 0.25p (1.14p) (1.39p) (7.78p) (9.17p) (2.28p) (7.76p) (10.04p)
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 19 to 25 are
an integral part of these condensed financial statements.
CONDENSED STATEMENT OF FINANCIAL POSITION
As at 31 December 2010
Notes 31.12.10 28.02.10 30.06.10
GBP GBP GBP
Non-current assets
Financial assets at fair value
through profit or loss 9 52,501,609 57,139,943 58,127,458
Current assets
Cash and cash equivalents 2,432,538 1,646,457 669,700
Other receivables 10 2,891,130 17,451 18,462
5,323,668 1,663,998 668,162
----------- ----------- -----------
Total assets 57,825,277 58,803,941 58,815,620
=========== =========== ===========
Current liabilities
Bank loan 12 17,324,918 16,509,166 16,090,774
Other payables 11 164,310 174,728 164,395
17,489,228 16,683,894 16,255,169
----------- ----------- -----------
Non-current liabilities
Fair value of forward foreign
exchange contracts 15 7,742,573 8,720,808 9,511,081
Total liabilities 25,231,801 25,404,702 25,766,250
----------- ----------- -----------
Net assets attributable to
shareholders 13 32,593,476 33,399,239 33,049,370
Total equity and liabilities
(including amounts due to
shareholders) 57,825,277 58,803,941 58,815,620
=========== =========== ===========
Net asset value per share 8 81.5p 83.5p 82.6p
These financial statements were approved by the Board of
Directors on 21 February 2011.
Signed on behalf of the Board.
DIW Reynolds JPHS Scott
Director Director
The notes on pages 19 to 25 are an integral part of these
condensed financial statements.
CONDENSED STATEMENT OF CHANGES IN SHAREHOLDERS' FUNDS
For the period from 1 July 2010 to 31 December 2010
Share Capital Revenue Total
Premium Reserve Reserve
GBP GBP GBP GBP
At 1 September 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
----------- ------------ ------------ ------------
Return/(Deficit) for
the period - 7,609 (357,478) (349,869)
At 30 June 2010 39,168,236 (713,361) (5,405,505) 33,049,370
----------- ------------ ------------ ------------
Deficit for the period - 98,880 (554,774) (455,894)
At 31 December 2010 39,168,236 (614,481) (5,960,279) 32,593,476
----------- ------------ ------------ ------------
The notes on pages 19 to 25 are an integral part of these
condensed financial statements.
CONDENSED STATEMENT OF CASH FLOWS
For the period from 1 July 2010 to 31 December 2010
01.07.10 01.09.09 01.09.09
to 31.12.10 to 28.02.10 to 30.06.10
------------ ------------ ------------
GBP GBP GBP
Cash flows from operating
activities
Revenue account operating loss
before finance costs for the
period (345,335) (341,653) (554,797)
(Increase) /Decrease in other
receivables (2,872,668) 4,603,518 4,602,597
Decrease in other payables (85) (260,670) (271,003)
Premiums paid (2,959,535) (2,644,328) (4,707,868)
Purchase of investments - (105,430) (105,430)
Proceeds from maturity of
investments 6,320,648 4,520,892 6,583,722
Currency gains / (losses) 595,108 (767,575) (956,498)
Net cash inflow/(outflow) from
operating activities 738,133 5,004,754 4,590,723
------------ ------------ ------------
Financing activities
Increase / (Decrease) in bank loan 1,234,144 (4,048,305) (4,466,697)
Interest paid (209,439) (213,841) (358,175)
Net cash inflow / (outflow) from
financing activities 1,024,705 (4,262,146) (4,824,872)
------------ ------------ ------------
Reconciliation of cash flow to
movement in net cash
Increase/(Decrease) in cash and
cash equivalents in the period 1,762,838 742,608 (234,149)
Cash and cash equivalents at the
beginning of the period 669,700 903,849 903,849
Cash and cash equivalents at the
end of the period 2,432,538 1,646,457 669,700
------------ ------------ ------------
The notes on pages 19 to 25 are an integral part of these
condensed financial statements.
PORTFOLIO OF INVESTMENTS
As at 31 December 2010
Traded Life Interests (TLIs)
Portion
Number of AM Best
of Policies Valuation Portfolio Rating
------------ ----------- ---------- --------
Issuer GBP %
American General Life
Insurance Company (TX) 13 9,227,041 17.58% A
Lincoln National Life
Insurance Company 18 7,648,321 14.57% A+
Transamerica Life Insurance
Company 21 6,735,538 12.83% A+
Massachusetts Mutual Life
Insurance Company 10 5,104,510 9.72% A++
John Hancock Life Insurance
Company 8 2,989,047 5.69% A+
Aviva Life and Annuity
Company 5 2,596,248 4.95% A
MetLife Insurance Company of
Connecticut 8 2,505,193 4.77% A+
New York Life Insurance and
Annuity Corporation 6 1,970,565 3.75% A++
Security Life of Denver
Insurance Company 1 1,795,959 3.42% A
John Hancock Variable Life
Insurance Company 3 1,694,745 3.23% A+
Pacific Life Insurance
Company 5 1,611,063 3.07% A+
National Western Life
Insurance Company 1 1,323,192 2.52% A
AXA Equitable Life Insurance
Company 4 967,099 1.84% A+
Lincoln Life & Annuity
Company of NY 2 887,367 1.69% A+
MONY Life Insurance Company 1 780,930 1.49% A+
Genworth Life Insurance
Company 1 661,078 1.26% A
Columbus Life Insurance
Company 2 644,417 1.23% A+
Aviva Life and Annuity
Company of NY 2 422,390 0.80% A
Lincoln Benefit Life Company 1 413,097 0.79% A+
North American Company for
L & H Insurance 2 411,753 0.78% A+
United of Omaha Life
Insurance Company 2 295,740 0.56% A+
Sun Life Assurance Company
of CA 2 268,814 0.51% A+
ReliaStar Life Insurance
Company 2 238,760 0.45% A
Banner Life Insurance
Company 2 234,951 0.45% A+
ING Life Insurance and
Annuity Company 2 203,094 0.39% A
MONY Life Insurance Company
of America 1 200,251 0.38% A+
Security Mutual Life
Insurance Company of NY 1 152,586 0.29% A-
Standard Insurance Company 1 147,718 0.28% A
Reassure America Life
Insurance Company 1 87,203 0.17% A
General American Life
Insurance Company 1 68,775 0.13% A+
Phoenix Life Insurance
Company 1 68,295 0.13% B+
Beneficial Life Insurance
Company 1 38,021 0.07% A-
52,393,761 99.79%
=========== ==========
Portion
Nominal Investment of Portfolio
-------- ----------- --------------
GBP %
UK Treasury 4% 7 September 2016 100,000 107,848 0.21%
----------- --------------
107,848 0.21%
----------- --------------
Portfolio Total 52,501,609 100.00%
=========== ==============
NOTES TO THE CONDENSED FINANCIAL STATEMENTS
For the period from 1 July 2010 to 31 December 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 31
December 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 period ended 30 June 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 30 June 2010, 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 July 2010 to 31 December 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 and uses a discounted cash flow
method.
The value of a TLI policy is calculated as 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 basis of valuation
that this valuation will differ from the realisable value of these
investments were the TLIs to be sold at the reporting 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 condensed financial statements 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
July 2011 on 10 January 2011. If the bank loan was not renewed or
extended 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 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
=== ============================= ============ ============ ============
01.07.10 01.09.09 01.09.09
=== ============================= ============ ============ ============
to 31.12.10 to 28.02.10 to 30.06.10
=== ============================= ------------ ------------ ------------
GBP GBP GBP
=== ============================= ============ ============ ============
Bank deposit interest 122 199 326
================================= ============ ============ ============
Bond interest 2,021 1,779 3,128
================================= ============ ============ ============
Total income 2,143 1,978 3,454
================================= ============ ============ ============
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 July 2010 to 31 December 2010
4 Investment management and management fees
SL Investment Management Limited, 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.
Since 1 September 2009 the fee payable to the Investment Manager
has been 0.475% per annum of the Company's net assets attributable
to the Fund. With effect from 1 April 2012 the fee will be reduced
to 0.4% per annum of the Company's net assets attributable to the
Fund.
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.
Since 1 September 2009 the fee payable to the Manager has been
0.425% per annum of the Company's net assets attributable to the
Fund. With effect from 1 April 2012 the fee will be reduced to 0.4%
per annum of the Company's net assets attributable to the Fund.
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.
With effect from 1 September 2009 the Administration Agreement
between the Company and Kleinwort Benson (Channel Islands) Fund
Services Limited (formerly Kleinwort Benson (Guernsey) Fund
Services Limited) dated 16 March 2004 was amended to a fixed fee of
GBP50,000 per annum.
5 Other expenses
01.07.10 01.09.09 01.09.09
to 31.12.10 to 28.02.10 to 30.06.10
------------ ------------ ------------
GBP GBP GBP
Administration and accountancy
fees 22,767 22,560 46,938
Secretarial fees 10,082 9,918 16,603
Broker fees 31,563 21,327 28,658
Directors' fees and expenses 38,486 32,261 56,411
D&O Insurance 5,236 4,354 8,492
Auditors' remuneration 17,430 25,861 29,895
Legal fees - 22,276 27,276
Printing 1,383 273 6,626
Safe custody fees 14,023 4,402 12,443
Bank fees and charges 9,196 11,808 45,162
Sundry expenses* 36,027 20,171 54,233
186,283 175,211 332,737
============ ============ ============
*Sundry expenses include mailing services, tax exempt fees,
registrar fees, stock exchange fees and other sundry costs.
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 July 2010 to 31 December 2010
6 Taxation
The Company is exempt from Guernsey Income Tax under the Income
Tax (Exempt Bodies) (Guernsey) Ordinance 1989 and 1992 and is
charged an annual exemption fee of GBP600 included in sundry
expenses.
The Company adopted 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 as an investment trust under
Section 1158 of the Corporation Tax Act 2010. Accordingly, no UK
tax has been provided for.
7 (Deficit) /Return per Share
Revenue deficit per Share is based on the net deficit
attributable to the Shares of GBP554,774 (February 2010: deficit
GBP555,494, June 2010: deficit GBP912,972) and on the average
number of Shares in issue of 40,000,000. Capital return per Share
is based on the net capital return attributable to the Shares of
GBP98,880 (February 2010: deficit GBP3,109,863, June 2010: deficit
GBP3,102,254) 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 the Shares of GBP32,593,476 (February
2010: GBP33,399,239, June 2010: GBP33,049,370) and on the
40,000,000 Shares in issue at the period end.
9 Investments
(a) Investments at fair value
through profit or loss
01.07.10 01.09.09 01.09.09
to 31.12.10 to 28.02.10 to 30.06.10
------------ ------------ ------------
GBP GBP GBP
Opening valuation 58,127,458 58,253,174 58,253,174
Premiums paid 2,959,535 2,644,328 4,707,868
Purchase of investments - 105,430 105,430
Proceeds from the maturities
of investments (6,320,648) (4,520,892) (6,583,722)
Realised gains on maturities 1,443,212 2,723,148 3,601,232
Unrealised movement in
depreciation
on revaluation of investments (3,707,498) (2,065,245) (1,956,524)
Closing valuation 52,501,609 57,139,943 58,127,458
============ ============ ============
Comprising:-
Closing book cost 57,882,034 57,666,591 58,545,385
Closing unrealised depreciation (4,125,875) (526,648) (417,927)
Closing valuation 52,501,609 57,139,943 58,127,458
============ ============ ============
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 July 2010 to 31 December 2010
9. Investments (continued)
(b) Net gain/(loss) on investments
held 01.07.10 01.09.09 01.09.09
at fair value through profit
or loss to 31.12.10 to 28.02.10 to 30.06.10
------------ ------------ ------------
GBP GBP GBP
Realised gain on maturities 1,443,212 2,723,148 4,664,216
Unrealised movement in
depreciation on revaluation
of investments (3,707,948) (2,065,245) 5,820,472
(2,264,736) 657,903 10,484,688
------------ ------------ ------------
10 Other receivables
31.12.10 28.02.10 30.06.10
---------- --------- ---------
GBP GBP GBP
Sundry debtors 7.461 15,640 18,462
Maturity proceeds receivable 2,882,398 - -
Accrued income 1,271 1,901 -
2,891,130 17,541 18,462
========== ========= =========
11 Other payables
31.12.10 28.02.10 30.06.10
--------- --------- ---------
GBP GBP GBP
Accrued expenses 164,310 174,728 164,395
164,310 174,728 164,395
========= ========= =========
12 Loan facility
The Company entered into a loan agreement on 24 February 2010
with Allied Irish Banks plc. Under this agreement, the Company had
borrowings as at 31 December 2010 as follows:- an amortising term
loan of US$23,156,000 (28 February 2010: US$23,156,000, 30 June
2010: US$23,156,000), and US$3,891,662 (28 February 2010:
US$2,000,000, 30 June 2010: US$891,662) under a revolving credit
facility. The Company had fully utilised the borrowing then
available under the agreement, which expired on 31 January 2011.
Interest was payable at LIBOR plus 2% on the amortising term loan
and at LIBOR plus 2.5% in respect of the revolving credit
facility.
On 10 January 2011, the loan agreement was renewed, and the
Company's current borrowings are US$20,293,000 under the amortising
term loan. There is a further US$6,000,000 available to the Company
under the revolving credit facility, and the present agreement
expires on 31 July 2011. The margin in respect of both the
revolving credit facility and the term loan facility is now 2.5%
over LIBOR per annum.
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 July 2010 to 31 December 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 in current
market conditions, the proceeds are likely to be lower than the
valuation.
Net assets attributable
13 to shareholders
Share
Premium Capital Reserve Revenue
Realised Unrealised Reserves Total
2010 2010 2010 2010 2010
GBP GBP GBP GBP GBP
Balance at 1 July 2010 39,168,236 11,930,497 (12,643,858) (5,405,505) 33,049,370
Realised gain on maturities - 1,443,212 - - 1,443,212
Movement in unrealised
depreciation on investments - - (3,707,948) - (3,707,948)
Movement in unrealised
currency loss on
forward foreign currency
contracts - - 1,768,508 - 1,768,508
Movement in unrealised
currency losses - - 595,108 - 595,108
Revenue loss for the period - - - (554,774) (554,774)
Balance at 31 December
2010 39,168,236 13,373,709 (13,988,190) (5,960,279) 32,593,476
=========== =========== ============= ============ ============
Share
Premium Capital Reserve Revenue
Realised Unrealised Reserves Total
2010 2010 2010 2010 2010
GBP GBP GBP GBP GBP
Balance at 1 September
2009 39,168,236 8,329,265 (5,940,372) (4,492,533) 37,064,596
Realised gain on maturities - 2,723,148 - - 2,723,148
Movement in unrealised
depreciation on investments - - (2,065,245) - (2,065,245)
Movement in unrealised
currency loss on
forward foreign currency
contracts - - (3,000,191) - (3,000,191)
Movement in unrealised
currency losses - - (767,575) - (767,575)
Revenue loss for the period - - - (555,494) (555,494)
Balance at 28 February
2010 39,168,236 11,052,413 (11,773,383) (5,048,027) 33,399,239
=========== =========== ============= ============ ============
NOTES TO THE CONDENSED FINANCIAL STATEMENTS (CONTINUED)
For the period from 1 July 2010 to 31 December 2010
Net assets
attributable
to
shareholders
13 (continued)
Share
Premium Capital Reserve Revenue
Realised Unrealised Reserves Total
2010 2010 2010 2010 2010
GBP GBP GBP GBP GBP
Balance at 1
September 2009 39,168,236 8,329,265 (5,940,372) (4,492,533) 37,064,596
Realised gain on
maturities - 3,601,232 - - 3,601,232
Movement in
unrealised
depreciation on
investments - - (1,956,524) - (1,956,524)
Movement in
unrealised
currency loss on
forward foreign
currency
contracts - - (3,790,464) - (3,790,464)
Movement in
unrealised
currency losses - - (956,498) - (956,498)
Revenue loss for
the period - - - (912,972) (912,972)
Balance at 30 June
2010 39,168,236 11,930,497 (12,643,858) (5,405,505) 33,049,370
=========== =========== ============= ============ ============
14 Related party transactions
Fees earned by the Directors of the Company during the period
were GBP38,486 of which GBP18,395 was outstanding at the period end
(February 2010: GBP31,397 of which GBP10,538 was outstanding at the
period end, June 2010: (10 months): GBP54,094 of which GBP2,714 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 GBP7,742,573 at
the period end (February 2010: GBP8,720,808 loss, June 2010:
GBP9,511,081 loss). As a result, the movement in unrealised
currency loss on forward contracts during the period was a gain of
GBP1,768,508 (February 2010: GBP3,000,191 loss, June 2010:
GBP3,790,464 loss), which is included under 'Other foreign exchange
gains / (losses)' on the face of the Condensed Statement of
Comprehensive Income.
The Company also incurred currency foreign exchange gains during
the period of GBP595,108 (February 2010: GBP767,575 loss, June 2010
GBP956,498 loss). These gains arose predominantly on the
revaluation of the Company's US$ denominated borrowings (see Note
12) and are also included under 'Other foreign exchange gains/
(losses)' on the face of the Condensed Statement of Comprehensive
Income.
In total, the Company incurred foreign exchange losses of
GBP2,363,616 (February 2010: GBP3,767,766 loss, June 2010:
GBP4,746,962 loss). These gains broadly equate to the foreign
exchange loss implicit in the valuation of the underlying portfolio
of TLI policies.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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