TIDMTLI
RNS Number : 2264G
Alternative Asset Opps PCC Ltd
09 May 2011
9 May 2011
Alternative Asset Opportunities PCC Limited
(the "Company")
Interim Management Statement
This interim management statement relates to the period from 1
January 2011 to the date of publication of this statement and has
been prepared solely to provide additional information in order to
meet the relevant requirement of the UK Listing Authority's
Disclosure and Transparency Rules, and should not be relied on by
Shareholders, or any other party, for any other purpose.
The Company is a closed-ended Guernsey protected cell company
with one cell known as the US Traded Life Interests Fund (the
"Fund").
Investment objective
The Company's investment objective in respect of the Fund is to
provide investors with an attractive capital return through
investment predominantly in a diversified portfolio of U.S. Traded
Life Interests ("TLIs").
Financial position and performance
Over the period to 31 March 2011, the Company's net asset value
per share decreased by 2.7% to 79.3 pence. As at 31 March 2011, the
shares were trading at a 31.2% discount to net asset value.
One mortality was accounted for in the period with a total face
value of US$1.7 million. There have been, in aggregate, 29 policy
maturities since the Fund's inception.
The Company's loan agreement with Allied Irish Banks plc was
renewed in January 2011, and this provided the Company with further
funding of US$6 million until 31 July 2011. As of 31 March 2011
total borrowings under the agreement amounted to US$20,592,662 and
US$4,000,000 remained available to the Company.
One further mortality has been identified since 31 March 2011,
but not yet formally certified, with a total face value of
US$1,500,000. Apart from this, the Board is not aware of any other
material events during the quarter to 31 March 2011, or in the
period from 1 April 2011 to the date of this announcement, which
would have had a material impact on the financial position of the
Company.
Illustrative predicted yields
The table below sets out the range of illustrative predicted
yields over the remaining life of the Company, with reference to
the 31 March 2011 NAV of 79.3 pence per share.
31 December 2012 31 December 2016
IRR based IRR based
on exit on exit price
price range(5) range(5)
: :
------------------
LE Remaining Remaining
change Shares Shares
Variation (years) Policies in issue Policies in issue
in mortality(1) (2) surviving(3) (4) 100%(6) 70%(7) surviving(3) (4) 100%(6) 70%(7)
-------- ------------- ---------- -------- -------- ------------- ---------- --------
125% -1.09 71.3% 96.8% 19.38% 0.43% 28.0% 25.2% 15.32% 9.86%
-------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
110% -0.48 74.2% 100.0% 15.67% -4.02% 32.1% 35.3% 11.86% 6.69%
-------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
100% 0.00 76.2% 100.0% 13.24% -7.46% 35.3% 43.4% 9.62% 4.53%
-------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
80% +1.20 80.4% 100.0% 8.05% -14.94% 42.7% 66.7% 5.12% 0.18%
-------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
50% +4.12 87.1% 100.0% -0.66% -28.17% 57.6% 100.0% -3.27% -10.39%
-------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
30% +8.00 92.0% 100.0% -7.27% -38.93% 71.1% 100.0% -14.39% -42.17%
-------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
Ignore Medical
Underwriting(8) n/a 83.5% 100.0% 6.66% -17.97% 45.3% 71.8% 5.35% 0.37%
-------- ------------- ---------- -------- -------- ------------- ---------- -------- --------
Notes
1. The central case (100%) assumes that claims experience
matches the valuation basis in force at 31 March 2011. The other
scenarios assume that the mortality experience is higher (e.g. 110%
means that if one expects 10 deaths, one instead experiences 11) or
lower (e.g. 80% means that if one expects 10 deaths, one instead
experiences 8).
2. This shows the effect of the mortality experience on the life
expectancy (in years) for an otherwise normal 80-year-old
non-smoker.
3. The proportion of policies surviving to the specified date
based on the portfolio as at 31 March 2011. 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 31 March 2011 and the relevant date (31 December
2012 or 31 December 2016) based on the growth in the NAV per
share.
6. Return based on growth in NAV per share assuming valuation at
the relevant date using the valuation basis in force at 31 March
2011.
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
March 2011.
8. Mortality outcome assuming the lives are all "normal" lives
from the point of view of mortality expectations and ignoring the
implied relative health from medical underwriting.
Source: SL Investment Management Limited
Top ten holdings
By reference to the most recent portfolio valuation of the
Company as at 31 March 2011, the largest ten investments held by
the Company, measured by life office exposure, were as follows:
% of total
Number assets as at
Issuer of policies 31 March 2011
American General Life Insurance Company (TX) 13 17.92%
Lincoln National Life Insurance Co 17 14.31%
-------------
Transamerica Life Insurance Company 21 13.26%
-------------
Massachusetts Mutual Life Insurance Co 10 9.87%
-------------
John Hancock Life Insurance Company 11 8.48%
-------------
Aviva Life and Annuity Company 5 5.03%
-------------
MetLife Insurance Company of Connecticut 8 4.50%
-------------
New York Life Insurance and Annuity Corp 6 3.80%
-------------
Security Life of Denver Insurance Co 1 3.44%
-------------
Pacific Life Insurance Company 5 3.17%
-------------
Company Information
Launch date 25 March 2004
EPIC TLI
Year end 30 June (from 2010 onwards)
Report & Accounts 2009 Annual Report posted December,
Interim posted May
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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