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%
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Lincoln National Life Insurance Co 14 15.88%
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Transamerica Life Insurance Company 19 13.86%
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Massachusetts Mutual Life Insurance Co 8 8.25%
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John Hancock Life Insurance Company 10 7.78%
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MetLife Insurance Company of Connecticut 6 3.99%
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Security Life of Denver Insurance Co 1 3.98%
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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
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