Altern Asset Opps Ld TLI Interim Management Statement

  Altern Asset Opps Ld (TLI) - Interim Management Statement

RNS Number : 4877R
Alternative Asset Opps PCC Ltd
19 November 2012








19 November 2012

                 Alternative Asset Opportunities PCC Limited

                               (the "Company")

                         Interim Management Statement



This interim management statement  relates to the period  from 1 July 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  October 2012, the Company's  net asset value per  share 
decreased by 5.8%  to 76.5  pence. As  at 31  October 2012,  the shares  were 
trading at a 28% discount to the adjusted net asset value.

If the Company was to recognise at 31 October 2012 the recent placing and open
offer (the "Placing and Open Offer"), which raised £9,746,000 net of expenses,
this would result in an adjusted net asset value on a pro-forma basis of  56.0 
pence per share.



Three policy maturities on  two lives were identified  during the period.  The 
gains from the policy  maturities were recognised in  the 31 October 2012  NAV 
adding circa 1.7 pence to the unadjusted NAV per share. There have been,  in 
aggregate, 41 policy maturities since the Fund's inception.



The Company's loan agreement with Allied Irish Banks plc was due to expire  on 
28 September 2012. As announced on  10 September 2012, the loan agreement  was 
renewed until 28  March 2013  providing a  facility of  US$23.2 million.  The 
Company subsequently  negotiated an  amendment  to the  loan agreement  of  an 
increased amount of US$24.2 million for  the period to 31 March 2014,  subject 
to the Fund raising at least US$10 million (net of expenses) from shareholders
and the net proceeds being used to  reduce the net borrowings of the Fund.  A 
new amendment to the loan agreement was duly signed on 1 November 2012. As at
19 November 2012, following repayment of  the net proceeds of the Placing  and 
Open  Offer  of  US$15.6  million  and  the  above  maturity  proceeds,  total 
borrowings under the agreement had fallen to US$238,906.



At an Extraordinary  General Meeting  on 1 November  2012 it  was resolved  to 
approve a Placing and Open Offer of up to 32,000,000 new shares in respect  of 
the Fund at a price of 32 pence per share. On 5 November 2012 32,000,000 new
shares were admitted  to the  Official List of  the UK  Listing Authority  and 
admitted to trading  on the  London Stock  Exchange's main  market for  listed 
securities, raising gross proceeds of approximately £10.2 million.



There are now 72,000,000 Redeemable Participating Preference Shares in issue.



At the  same Extraordinary  General Meeting  on 1  November 2012  it was  also 
resolved  to  amend  the  Company's  Articles  of  Incorporation  to   include 
pre-emption rights and to approve the participation in the lacing by  Investec 
Asset Management Limited, a related party of the Company.



At the Annual General Meeting held on 14 November 2012 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 2013.



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



As in previous reports, the  simplified 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 obtained on
or after 1 January  2011 or, for  the remaining 34% of  the portfolio by  face 
value (the 'non-updated  policies'), either  the original LE  assessed at  the 
time of purchase or an LE updated  before 31 December 2010. The average LE  is 
shown for reference (4.7 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.



- 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 10% 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 0.1 years.



- The third  line assumes  an increase  in LE  of 20%  on the  non-updated 
policies. The effect on  NAV is roughly  similar to that  shown in the  second 
line with an incremental increase in LE of 0.2 years.





- 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  October 
2012, unadjusted for the recent Placing and Open Offer



                               Weighted Average Discount Rates applied to cash
    Mortality Assumptions             LE                    flows
                                                 10%  Current (12%)  16%  20%
          Latest LE                  4.7        82.9       76.5      65.8 57.2
   +10% for LE dates before          4.8        78.7       72.4      61.9 53.6
          01/01/2011
   +20% for LE dates before          5.0        74.8       68.7      58.4 50.3
          01/01/2011
       No underwriting               5.3        68.6       62.1      51.5 43.2







Source: SL Investment Management Limited







Top ten holdings

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









                                                                    % of total
                                                                  assets as at
Issuer                                      Number of policies 31 October 2012
American  General  Life  Insurance  Company                 12          22.50%
(TX)
Lincoln National Life Insurance Co                          14          18.13%
Transamerica Life Insurance Company                         19          15.65%
John Hancock Life Insurance Company                         9           5.84%
Massachusetts Mutual Life Insurance Co                       5           5.58%
MetLife Insurance Company of Connecticut                     6           4.50%
Security Life of Denver Insurance Co                         1           4.37%
Aviva Life and Annuity Company of NY                         4           3.98%
New York Life Insurance and Annuity Corp                     5           3.46%
Pacific Life Insurance Company                               4           2.70%



Company Information



Launch date 25 March 2004

EPIC TLI

Year end 30 June

Report & Accounts 2012 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 
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

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IMSGGGGPGUPPGQB -0- Nov/19/2012 16:22 GMT
 
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