Alternative Asset Opps PCC Ltd Net Asset Value(s) - Replacement (3563J)
July 15 2013 - 10:29AM
UK Regulatory
TIDMTLI
RNS Number : 3563J
Alternative Asset Opps PCC Ltd
15 July 2013
Alternative Asset Opportunities PCC Limited (the "Company")
15 July 2013
The following replaces "Net Asset Value(s)" announcement dated
Monday 15 July 2013 at 9.54 am under RNS Number 3097J
Net debt at 30 June 2013 should have been announced as
US$2,811,000 and not US$3,494,000 as stated. The full correct
announcement appears below.
The Board of Alternative Asset Opportunities PCC Limited (the
"Company") announces that the net asset value of the US Traded Life
Interests Fund at 30 June 2013 was 55.6 pence per share. This
represents a decrease of 1.0 penny per share from the NAV at 31 May
2013. During the month LE adjustments on 5 policies reduced NAV by
0.9 pence per share and a profit equivalent to 0.5 pence per share
was recognised from the maturity of one policy on one life with a
face value of US$1,000,000.
Exchange rate movements had no material impact during the month.
The Company's borrowings as at 30 June 2013 stood at US$5,939,000.
Net debt, taking into account cash balances and capital debtors
(being the above maturity proceeds and one of the two policy
maturities announced in the previous month not yet received),
amounted to US$2,811,000.
The Board has for some time been concerned at the low level of
maturities compared to the life expectancy (LE) projections from
our panel of assessors. Earlier this year it therefore requested
the Investment Manager to resume the programme of obtaining LE
updates, covering a significant portion of the portfolio. Given the
difficulties in assessing LEs, the Board is also considering the
appropriateness of the 12% discount rate (IRR) utilised in its
valuation in the light of the higher IRR requirements of policy
buyers seen on many transactions during the last 2-3 years. This
work, which is likely to result in a modest reduction in reported
NAV, is expected to be completed by early September and the Board
will advise Shareholders of the outcome, which will be reflected in
the audited financial results for the year ended 30 June 2013. The
Board already publishes, and will continue to publish, tables which
allow investors to assess the effects of differing valuation
assumptions on the NAV.
The table below aims to give investors an appreciation of the
effects on valuation of different assumptions as to both LE and
IRR.
- The first line of NAVs in the table uses the 'Latest LE'
assumption, that is to say either an LE based on a recently updated
assessment (obtained on or after 1 January 2011) or, for the
remaining 26% of the portfolio by face value (the 'non-updated
policies'), either the original LE at the time of purchase or an LE
updated before 31 December 2010. The average LE is shown for
reference (4.5 years). NAV is then shown at four different discount
rates, ranging from 10% to 20%. This shows the effect of IRR on
current value, but it also allows investors to assess the effects
of forced sales.
- The second line uses the assumption that updated LEs obtained
for the non-updated policies would broadly follow those already
obtained for other policies, resulting in an LE increase of 10% on
the non-updated policies. In practice, the LE changes exhibited by
actual revised assessments vary widely and the Board does not feel
it is necessarily correct to extrapolate the changes for the
non-updated policies. The overall effect is to increase average LE
by 0.1 years.
- The third line assumes an increase in LE of 20% on the
non-updated policies. The effect on NAV is an incremental increase
in LE of 0.2 years.
- Finally, the fourth line shows the outcome of assuming LEs are
simply based on the current table of life expectancies for the
general population, the 2008 Valuation Basic Table i.e. ignoring
medical assessments. The Board does not suggest that this is a
realistic assumption, but it gives a measure of the degree to which
the portfolio is dependent on assessed LEs being shorter than for
the population as a whole.
Sensitivity Matrix
Net Asset Value in pence per share on various assumptions as at
30 June 2013
Discount Rates applied to cash
flows
----------------------- -------- -------------------------------------
Average
Mortality Assumptions LE 10% Current (12%) 16% 20%
----------------------- -------- ------ ---------------
Latest LE 4.5 59.2 55.6 49.4 44.5
----------------------- -------- ------ --------------- ----- -----
+10% for LE dates
before 01/01/2011 4.6 57.3 53.7 47.7 42.9
----------------------- -------- ------ --------------- ----- -----
+20% for LE dates
before 01/01/2011 4.8 55.6 52.0 46.1 41.4
----------------------- -------- ------ --------------- ----- -----
No underwriting 5.1 51.4 47.7 41.7 36.9
----------------------- -------- ------ --------------- ----- -----
Enquiries:
Peter Ingram Tel: 020 7065 1467
Company Secretary
This information is provided by RNS
The company news service from the London Stock Exchange
END
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