Caymans-based life settlement manager Assured Fund has reset the life expectancy estimates on its portfolio of policies and will cut net asset value (NAV) by over a third to match the change.
“Although the Fund continues to perform well in relation to other more traditional asset classes, the performance of the Fund has slowed in recent years largely due to lower than expected mortality among the individuals covered by the Fund’s portfolio of life settlements (the “Insured Parties”),” the manager said in a statement issued on the Cayman Islands Stock Exchange.
According to the statement, the fund reviewed the life expectancies of its portfolio of policies based on “revision of each life expectancy estimate was specific to the medical and lifestyle conditions of each Insured Party.”
“As a result of the review the life expectancy estimates of the majority of the Insured Parties have been increased with a corresponding decrease in the Fund’s Net Asset Value of approximately 34%,” the statement said.
The Assured Fund is run by London-based Policy Selection Limited.
Life settlement managers have been struggling over the past two years as mortality tables changed and managers face losses on policies held for investment. In a report issued last year by Standard & Poor’s, failures to keep up to date mortality data was a major risk for the industry.
“While life expectancy providers may argue that their estimates are accurate, we believe significant volatility is possible,” the report said.
