TLI Alt. AO. Prfnpv

    Alternative Asset Opportunities PCC Limited

24 February 2005

Investment update

The Fund's Investment Manager, Surrenda-link, remains very active in bidding
for TLIs, using a range of US suppliers. Since 30 September 2004, policies with
a face (i.e. insurance) value of an additional US1.98 billion have been
analysed and new bids have been made on policies with a face value of a further
US$ 736 million.

Progress in the level of deals agreed since the last update has been impacted
by a high degree of bidding competition in the marketplace with a significant
increase in prices through January. Competitive bidding activity has, however,
now returned to more normal levels and the Investment Manager anticipates that
this will lead to improved levels of deal completion.

Deals agreed or completed as at 22 February amounted to approximately US$40.5
million at cost, with outstanding active bids at a high of US$77 million. As
previously reported, the process of policy acquisition is slow. Taking into
account previous bid success rates and the difficult purchasing environment
experienced, during January in particular, it is likely that completion of the
investment programme will now extend beyond the end of March, later than
previously indicated.

The Board and the Actuarial Committee continue to monitor the purchasing
criteria utilised in the acquisition of the Company's portfolio. The Fund's bid
parameters have recently been modified to allow a modest increase in bid
prices, where deemed appropriate, together with the ability to invest in
policies with slightly longer adjusted life expectancies (for which more
attractive prices are currently available), with a view to completing the
remainder of the investment programme within a tight timeframe.

The Board remains of the view that a careful and responsible approach to the
purchase of TLIs is likely to lead to the best returns for Shareholders.
Specifically, the projections provided by Surrenda-link show that the total
returns available over the proposed life of the Fund are not unduly sensitive
to the speed of investment, nor is there convincing evidence that significantly
higher prices would improve the rate of acquisition. The Board and the
Investment Manager will continue to seek to ensure that the investment
programme is completed at the earliest practicable date, although on current
projections a further delay in completion of the investment programme of up to
6 months would not be expected to impact materially on the projected level of
total returns.

The Directors and the Investment Manager have updated the performance
projections over the proposed life of the Fund, with reference to the prices
paid, speed of investment and life expectancy characteristics of policies
acquired to date and confirm that the Fund is currently still on target to
achieve annualised returns broadly in line with the range anticipated at
launch. However, in the event of sustained competitive pricing pressure during
the remainder of the investment programme, such performance projections may be
adversely affected.

The Directors confirm that, once the Fund is substantially invested, it is
proposed to publish quarterly projected total returns, adjusted for actual
portfolio experience, with an appropriate sensitivity analysis.

The Company will provide a further investment update as at the end of March.

Enquiries:                                                                     
                                                                               
Peter Clode/Ernie Hayes                                       Tel: 01244 317999
                                                                               
Surrenda-link Limited                                                          
                                                                               
Simon White                                                  Tel: 020 7859 9000
                                                                               
RCM (UK) Limited                                                               

Nigel Massey (Tel 01481 727111)

Kleinwort Benson (Channel Islands) Fund Services Limited




END

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