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Interim Management Statement

Date : 05/03/2012 @ 11:36AM
Source : UK Regulatory (RNS & others)
Stock : Alt. AO. Prfnpv (TLI)
Quote : 39.75  0.0 (0.00%) @ 2:58AM
Alternative Asset Opps Pcc share price Chart

Interim Management Statement

TIDMTLI

RNS Number : 7075C

Alternative Asset Opps PCC Ltd

03 May 2012

3 May 2012

Alternative Asset Opportunities PCC Limited

(the "Company")

Interim Management Statement

This interim management statement relates to the period from 1 January 2012 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

Over the period to 31 March 2012, the Company's net asset value per share decreased by 6.7% to 70.5 pence. As at 31 March 2012, the shares were trading at a 44.7% discount to net asset value.

Two policy maturities on two lives were identified during the period, and policy maturity proceeds were received during March/April 2012 adding circa 0.9 pence to the NAV per share. There have been, in aggregate, 34 policy maturities since the Fund's inception.

The Company's loan agreement with Allied Irish Banks plc ("AIB") was renewed to cover the necessary funding up to 28 September 2012. As at 31 March 2012, total borrowings under the agreement amounted to US$27,510,000 after settlement of the foreign exchange positions as at that date.

As previously announced, the Board intends to dispose of some policies as and when suitable opportunities arise. To date, sale contracts have been exchanged with three counterparties for the sale of 12 policies, which have realised US$10.7 million. The Board is pleased to report that this has been achieved without any significant impact on the net asset value per share. A further batch of policies is currently being reviewed for possible sale.

The Board is not aware of any other material events during the period from 1 January 2012 to 31 March 2012, or in the period from 1 April 2012 to the date of this announcement which would have had a material impact on the financial position of the Company.

As in recent reports, the illustrative 'Sensitivity Matrix' set out below, is expressed in terms of NAV per share and enables the Board to show the effect of differing market IRR assumptions.

- 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 or, for the remaining 22% of the portfolio by face value (the 'non-updated policies'), based on the original LE assessed at the time of purchase. The average LE (weighted by policy value) is shown for reference (4.6 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 if, for example, the portfolio was to be liquidated before 31 December 2016.

- The second line uses the assumption that updated LEs obtained for the non-updated polices would broadly follow those already obtained for other policies, resulting in an LE increase of 20% 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 0.12 years.

- The third line assumes an increase in LE of 40% on the non-updated policies. The effect on NAV is roughly proportionate to that shown in the second line, but the increase in LE is only 0.04 years because of the fact that policies are weighted by value - such an extension to LE of course has significant impact on the values of some of these policies.

- 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 (Ultimate), i.e. ignoring LE 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 31 March 2012

 
 Mortality Assumptions    Weighted      Discount Rates applied to cash flows 
                           Average 
                             LE* 
-----------------------  ---------  ------------------------------------------- 
                                      10%       Current (12%)      16%     20% 
-----------------------  ---------  -------  ------------------  ------  ------ 
       Latest LE            4.6       77.8          70.5          58.3    48.5 
-----------------------  ---------  -------  ------------------  ------  ------ 
      +20% for LE 
      dates before 
       01/11/2008           4.7       71.9          64.7          52.8    43.4 
-----------------------  ---------  -------  ------------------  ------  ------ 
      +40% for LE 
      dates before 
       01/11/2008           4.8       67.8          60.8          49.2    40.1 
-----------------------  ---------  -------  ------------------  ------  ------ 
    No underwriting         5.5       58.3          50.9          39.1    29.7 
-----------------------  ---------  -------  ------------------  ------  ------ 
 

* The weighted average LE (in years) is calculated by reference to the policy values obtained.

Source: SL Investment Management Limited

Top ten holdings

By reference to the most recent portfolio valuation of the Company as at 31 March 2012, the largest ten investments held by the Company, measured by life office exposure, were as follows:

 
                                                                    % of total 
                                                                     assets as 
                                                       Number               at 
 Issuer                                           of policies    31 March 2012 
 American General Life Insurance Company (TX)              13           21.06% 
----------------------------------------------  ------------- 
 Lincoln National Life Insurance Co                        14           15.88% 
----------------------------------------------  ------------- 
 Transamerica Life Insurance Company                       19           13.86% 
----------------------------------------------  ------------- 
 Massachusetts Mutual Life Insurance Co                     8            8.25% 
----------------------------------------------  ------------- 
 John Hancock Life Insurance Company                       10            7.78% 
----------------------------------------------  ------------- 
 MetLife Insurance Company of Connecticut                   6            3.99% 
----------------------------------------------  ------------- 
 Security Life of Denver Insurance Co                       1            3.98% 
----------------------------------------------  ------------- 
 Aviva Life and Annuity Company                             4            3.71% 
----------------------------------------------  ------------- 
 New York Life Insurance and Annuity Corp                   5            3.18% 
----------------------------------------------  ------------- 
 National Western Life Insurance Company                    1            2.92% 
----------------------------------------------  ------------- 
 

Company Information

   Launch date                  25 March 2004 
   EPIC                            TLI 
   Year end                      30 June 
   Report & Accounts       Annual Report posted October, Interim posted February 
   AGM                            November 
   Price Information          Financial Times (under INVESTMENT COMPANIES, listed as 'AltAstsOpps.') 

Investor Information

Further portfolio information, including the latest available factsheets, is provided on the Manager's website and 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

IMSUGUPWAUPPGAW

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