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19 Nov 2010 12:24
The following replaces the "Interim Management Statement" announcement released on Friday 19th November 2010 under RNS 4913W. The NAV impact of the two recent policy maturities is circa 2.4 pence. The full amended text appears below.
19 November 2010
Alternative Asset Opportunities PCC Limited
(the "Company")
Interim Management Statement
This interim management statement relates to the period from 1 July 2010 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 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 30 September 2010, the Company's net asset value per share decreased by 6.3% to 77.4 pence. As at 30 September 2010, the shares were trading at a 29.5% discount to net asset value.
No mortalities were accounted for in the period. We have recently been notified of two policy maturities, which will be accounted for at the end of November 2010. It is estimated that these will add circa 2.4 pence to the NAV per share. There will then have been, in aggregate, 26 policy maturities since the Fund's inception.
The Company's loan agreement with Allied Irish Banks plc was renewed in February 2010, and this provides the Company with the ability to borrow up to US$33,156,000 until 31 January 2011. As of 30 September 2010 total borrowings under the agreement amounted to US$28,048,000.
The Board is not aware of any other material events during the period from 1 July 2010 to 30 September 2010, or in the period from 1 October 2010 to the date of this announcement, which would have had a material impact on the financial position of the Company.
Illustrative predicted yields
The tables below give a range of outcomes on differing assumptions about the portfolio. The Board will continue to analyse the information available to it to ensure valuations are soundly based.
31 December 2012 | 31 December 2016 | |||||||||
IRR5 | IRR5 | IRR5 | IRR5 | |||||||
Variation in mortality1 | LE change (years) 2 | Policies surviving3 | Remaining Shares in issue 4 | 100%6 | 70%7 | Policies surviving3 | Remaining Shares in issue 4 | 100%6 | 70%7 | |
100% | 0.00 | 69.7% | 96.0% | 13.40% | -3.22% | 31.9% | 37.0% | 9.87% | 3.78% | |
80% | +1.20 | 74.7% | 100.0% | 8.06% | -7.78% | 39.1% | 61.5% | 5.11% | -0.72% | |
50% | +4.12 | 83.0% | 100.0% | -1.53% | -15.96% | 54.1% | 100.0% | -4.25% | -9.56% | |
30% | +8.00 | 89.3% | 100.0% | -9.39% | -22.67% | 68.0% | 100.0% | -19.89% | -24.34% | |
| Ignore Medical Underwriting8 | n/a | 81.7% | 100.0% | 2.09% | -12.87% | 44.4% | 83.8% | 3.29% | -2.44% |
| 100% mortality projected from Share Price9 | 0.00 | 69.7% | 100.0% | 32.54% | 13.11% | 31.9% | 37.0% | 16.22% | 9.77% |
Notes
1. The base case (100%) assumes that claims experience matches the valuation basis in force at 30 September 2010. The other scenarios assume the mortality experience is worse than expected. (e.g. 110% means that if one expected 10 deaths, one instead experiences 11) or lower (e.g. 80% means that if one expected 10 deaths, but experiences 8).
2. This shows the effect of the mortality experience on the life expectancy (in years) for an otherwise normal 80-year-old non-smoker.
3. The proportion of policies surviving to the specified date based on the portfolio as at 30 September 2010. No allowance has been made for the policies that have matured after this date.
4. The model assumes that shares are repurchased whenever excess cash is available beyond that required for premium reserves. This column represents the number of shares still in issue and not repurchased at the relevant date.
5. This shows how the return varies for a shareholder holding the shares between 30 September 2010 and the relevant date (31 December 2012 or 31 December 2016) based on the growth in the NAV per share. The NAV at that date was 77.4 pence per share.
6. Return based on winding up at the relevant date assuming that the net realised proceeds of assets is 100% of the valuation calculated in accordance with the valuation basis in force at 30 September 2010.
7. Return based on winding up at the relevant date assuming that the net realised proceeds of assets is 70% of the valuation calculated in accordance with the valuation basis in force at 30 September 2010.
8. Mortality outcome assuming the lives are all "normal" lives from the point of view of mortality expectations and ignoring the implied relative health from medical underwriting. These figures are projected from the current NAV.
9. Return to investor from share price at 30 September 2010 (54.5 pence per share)
Source: SL Investment Management Limited
Top ten holdings
By reference to the most recent portfolio valuation of the Company as at 30 September 2010, the largest ten investments held by the Company, measured by life office exposure, were as follows:
Issuer | Number of policies | % of totalassets as at30 September 2010 |
American General Life Insurance Company (TX) | 13 | 16.37% |
Lincoln National Life Insurance Co | 18 | 14.00% |
Transamerica Life Insurance Company | 21 | 13.08% |
John Hancock Life Insurance Company | 13 | 9.17% |
Massachusetts Mutual Life Insurance Co | 10 | 9.15% |
Aviva Life and Annuity Company | 6 | 6.45% |
Pacific Life Insurance Company | 6 | 5.39% |
MetLife Insurance Company of Connecticut | 8 | 4.45% |
New York Life Insurance and Annuity Corp | 6 | 3.57% |
Security Life of Denver Insurance Co | 1 | 3.24% |
Company Information
Launch date 25 March 2004
EPIC TLI
Year end 30 June (from 2010 onwards)
Report & Accounts 2010 Annual Report posted October, Interim 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 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
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