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12 May 2014 14:20
12 May 2014
Alternative Asset Opportunities PCC Limited
(the "Company")
Interim Management Statement
This interim management statement relates to the period from 1 January 2014 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 2014, the Company's net asset value per share increased by 0.9% to 46.3 pence. As at 31 March 2014, the shares were trading at an 18.2% discount to that net asset value. As at 9 May 2014 the discount to that net asset value was 17.4%.
Three policy maturities on two lives were identified during the period. The gains from the policy maturities were recognised in the 31 January and 28 February 2014 NAVs adding a total of circa 2.7 pence to the NAV per share. There have been, in aggregate, 55 policy maturities across 46 lives since the Fund's inception. Following the policy maturities identified during the period the Company now holds 92 policies covering 81 lives.
The Company has received notification of one further policy maturity on one life with a face value of US$2,000,000, which once certified will add approximately 1.1p to the NAV per share.
As previously announced, the Company agreed a new revolving loan facility with AIB Group (UK) PLC for up to US$10 million until 31 March 2016. The Company's borrowings as at 31 March 2014 showed a nil balance.
Material events and transactions in the period and since 31 March 2014
As previously advised in the Half Yearly Report, the Company put the audit out to tender. Following presentations from a number of international auditing firms, including the Company's current auditors, the Board, following a recommendation from the Audit Committee, decided to retain Deloitte LLP as the Company's auditors.
The Board is not aware of any other material events during the period from 1 January 2014 to 31 March 2014, or in the period from 1 April 2014 to the date of this announcement, which would have had a material impact on the financial position of the Company.
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 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%.
- The second line shows the effect of an 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 medical assessments.
Sensitivity Matrix
Net Asset Value in pence per share on various assumptions as at 31 March 2014
Mortality Assumptions | Average LE (years) | Discount Rates applied to cash flows | |||
10% | Current (12%) | 16% | 20% | ||
Latest LE | 4.9 | 49.2 | 46.3 | 41.5 | 37.7 |
+1 year for all LEs | 5.9 | 37.0 | 34.4 | 30.2 | 27.1 |
-1 year for all LEs | 3.9 | 62.9 | 59.8 | 54.7 | 50.4 |
Using 2008 VBT | 4.8 | 48.9 | 45.9 | 41.0 | 37.1 |
Source: SL Investment Management Limited
Distribution of Life Expectancy estimates
The following table shows the distribution by death benefit of the lives in the portfolio by LE band. 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 March 2014 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) | No. of Lives | Total Death Benefit (US$'000) | % of Death Benefit | Total Valuation (US$'000) | % of Valuation |
0 ≤ LE < 1 | 0 | $ 0 | 0.0 | 0 | 0.0 |
1 ≤ LE < 2 | 0 | $ 0 | 0.0 | 0 | 0.0 |
2 ≤ LE < 3 | 4 | $ 9,550 | 6.5 | 4,866 | 9.4 |
3 ≤ LE < 4 | 14 | $ 20,397 | 14.0 | 10,150 | 19.6 |
4 ≤ LE < 5 | 26 | $ 48,274 | 33.1 | 18,842 | 36.4 |
5 ≤ LE < 6 | 19 | $ 35,655 | 24.4 | 11,579 | 22.3 |
6 ≤ LE < 7 | 12 | $ 21,513 | 14.7 | 4,664 | 9.0 |
7 ≤ LE < 8 | 5 | $ 9,000 | 6.2 | 1,407 | 2.7 |
LE ≥ 8 | 1 | $ 1,500 | 1.0 | 300 | 0.6 |
Total | 81 | $ 145,889 | 100.0 | 51,806 | 100.0 |
The average age of lives assured as at 31 March 2014 was 90.1 years
Source: SL Investment Management Limited
Top ten holdings
By reference to the most recent portfolio valuation of the Company as at 31 March 2014, the largest ten investments held by the Company, measured by life office exposure, were as follows:
Issuer | Number of policies | % Investment Value | % Total Death Benefits |
American General Life Insurance Company | 10 | 20.97% | 19.23% |
Lincoln National Life Insurance Company | 14 | 19.25% | 21.61% |
Transamerica Life Insurance Company | 18 | 17.03% | 15.82% |
Massachusetts Mutual Life Insurance Company | 4 | 6.94% | 5.23% |
MetLife Insurance Company of Connecticut | 6 | 5.44% | 4.25% |
Security Life of Denver Insurance Company | 1 | 5.09% | 4.81% |
John Hancock Life Insurance Company (USA) | 6 | 4.54% | 5.48% |
Aviva Life and Annuity Company | 4 | 3.94% | 4.29% |
New York Life Insurance and Annuity Corporation | 5 | 3.61% | 4.46% |
Pacific Life Insurance Company | 4 | 2.58% | 5.52% |
Company Information
Launch date 25 March 2004
EPIC TLI
Year end 30 June
Report & Accounts 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 Half Yearly and Annual Reports 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
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