TIDMTLI
RNS Number : 4452T
Alternative Asset Opps PCC Ltd
19 November 2013
19 November 2013
Alternative Asset Opportunities PCC Limited
(the "Company")
Interim Management Statement
This interim management statement relates to the period from 1
July 2013 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 registered 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
The original published net asset value per share as at 30 June
2013 was 55.6 pence, but the Annual Report and Accounts adjusted
this figure to 48.5 pence, a reduction of 12.8%, and explained the
reasons for this change. Over the period to 31 October 2013, the
Company's net asset value per share decreased by 1.9% from the
adjusted figure to 47.6 pence. As at 31 October 2013, the shares
were trading at a 13.9% discount to the net asset value.
Five policy maturities on five lives were identified during the
period. The gain from one policy maturity was recognised in the 31
July 2013 NAV adding circa 2.1 pence to the NAV per share. The
gains from the other four policy maturities were recognised in the
31 October 2013 NAV, adding a total of 1.5 pence to the NAV per
share. There have been, in aggregate, 50 policy maturities since
the Fund's inception.
The Company's loan agreement with Allied Irish Banks plc is due
to expire on 31 March 2014. The Company is currently in the process
of negotiating a renewal of the loan agreement beyond that date. As
at 18 November 2013, following repayment of the above maturity
proceeds, there are no borrowings under the agreement and the cash
balance stands at $1,708,096.
Material events and transactions in the period and since 31
October 2013
At the Annual General Meeting held on 13 November 2013 an
ordinary resolution was passed to approve the continuance of the US
Traded Life Interests Fund of the Company until the Annual General
Meeting to be held in 2014.
The Board is not aware of any other material events during the
period from 1 July 2013 to 31 October 2013, or in the period from 1
November 2013 to the date of this announcement, which would have
had a material impact on the financial position of the Company.
The tables below aim to give investors an appreciation of the
effects of differing assumptions 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 April 2013), or for the
remaining policies an adjusted LE based on the most recent LE
obtained, increased by 12%. The average LE is shown for reference
(4.9 years). NAV is then shown at four different discount rates,
ranging from 10% to 20%. This shows the effect of IRR on current
value, and it allows investors to assess the effects of policy
sales if, for example, the portfolio was to be liquidated.
- The second line shows the effect of a further increase of one year in the valuation LEs.
- The third line shows the effect of a decrease of one year in the valuation LEs.
- 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
LE assessments.
Sensitivity Matrix
Net Asset Value in pence per share on various assumptions as at
31 October 2013
Mortality Assumptions Average Discount Rates applied to cash flows
LE
----------------------- -------- -------------------------------------------
10% Current (12%) 16% 20%
----------------------- -------- ------- ------------------ ------ ------
Latest LE 4.9 50.7 47.6 42.4 38.3
----------------------- -------- ------- ------------------ ------ ------
+1 year for
all LEs 5.9 37.7 34.9 30.5 27.1
----------------------- -------- ------- ------------------ ------ ------
- 1 year for
all LEs 3.9 65.1 61.8 56.2 51.6
----------------------- -------- ------- ------------------ ------ ------
Using 2008
VBT 5.0 50.4 47.2 41.8 37.6
----------------------- -------- ------- ------------------ ------ ------
Source: SL Investment Management Limited
Distribution of Life Expectancy estimates
The following table shows the distribution by LE band of the
death benefit and number of lives in the portfolio. Lives are
grouped by 6 month LE bands and the table shows the number of lives
and the total death benefit in each group. The LEs are the
valuation LEs used for the 31 October 2013 valuation.
It is important to note that the LE is an average of the
estimated length of future lifetime for an individual with a given
age and health status. The table is not, therefore, a prediction of
when actual maturities will occur and is thus not a cashflow
forecast.
LE Band (Years) Number of Lives Death Benefit
0 <= LE < 0.5 0 $ -
0.5 <= LE < 0 $ -
1
1 <= LE < 1.5 0 $ -
1.5 <= LE <
2 1 $ 1,300,000
2 <= LE < 2.5 2 $ 5,500,000
2.5 <= LE <
3 1 $ 2,000,000
3 <= LE < 3.5 5 $ 11,450,000
3.5 <= LE <
4 10 $ 14,036,918
4 <= LE < 4.5 16 $ 26,109,334
4.5 <= LE <
5 8 $ 13,075,240
5 <= LE < 5.5 14 $ 30,650,000
5.5 <= LE <
6 8 $ 9,714,265
6 <= LE < 6.5 6 $ 8,861,438
6.5 <= LE <
7 7 $ 12,401,195
7 <= LE < 7.5 3 $ 11,000,000
7.5 <= LE <
8 2 $ 2,500,000
LE >= 8 2 $ 3,000,000
Total 85 $ 151,598,390
Top ten holdings
By reference to the most recent portfolio valuation of the
Company as at 31 October 2013, the largest ten investments held by
the Company, measured by life office exposure, were as follows:
% of total
assets as
at
Number 31 October
Issuer of policies 2013
American General Life Insurance Company (TX) 10 20.35%
---------------------------------------------- -------------
Lincoln National Life Insurance Co 14 18. 32%
---------------------------------------------- -------------
Transamerica Life Insurance Company 18 16.21%
---------------------------------------------- -------------
Massachusetts Mutual Life Insurance Co 5 7.55%
---------------------------------------------- -------------
MetLife Insurance Company of Connecticut 6 5.02%
---------------------------------------------- -------------
Security Life of Denver Insurance Co 1 4.84%
---------------------------------------------- -------------
John Hancock Life Insurance Company 6 4.48%
---------------------------------------------- -------------
New York Life Insurance and Annuity Corp 5 4.08%
---------------------------------------------- -------------
Aviva Life and Annuity Company of NY 4 3.95%
---------------------------------------------- -------------
Genworth Life Insurance Company 1 2.47%
---------------------------------------------- -------------
Company Information
Launch date 25 March 2004
EPIC TLI
Year end 30 June
Report & Accounts 2013 Annual Report posted October, Half-yearly 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
www.allianzgi.co.uk/TLI (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
IMSGGGWGGUPWGQB
Alternative Asset Opps Pcc (LSE:TLI)
Historical Stock Chart
From Jun 2024 to Jul 2024
Alternative Asset Opps Pcc (LSE:TLI)
Historical Stock Chart
From Jul 2023 to Jul 2024
