TLI Alt. AO. Prfnpv

    Alternative Asset Opportunities PCC Limited

     Life Office (1)                         Value at 31   Proportion of Total 
                                                                               
                                                 May           Gross Assets    
                                                                               
                                               2006(2)              %          
                                                                               
 1   American General Life Insurance             6075              14.3        
     Company                                                                   
                                                                               
 2   Transamerica Occidental Life Ins Co         4305              10.1        
                                                                               
 3   C M Life Insurance Company                  4114              9.7         
                                                                               
 4   Pacific Life Insurance Company              3612              8.5         
                                                                               
 5   Lincoln National Life Insurance Co          3140              7.4         
                                                                               
 6   John Hancock Life                           2493              5.9         
                                                                               
 7   Jefferson-Pilot Life Insurance Company      2467              5.8         
                                                                               
 8   Indianapolis Life Insurance Company         2403              5.6         
                                                                               
 9   Manufacturers Life                          2113              5.0         
                                                                               
 10  Travellers Life and Annuity                 1076              2.5         

In accordance with paragraph 15.4.11 (2) of the Listing Rules, by reference to
the most recent portfolio valuation of the Company as at 31 May 2006, the
largest ten investments held by the Company were as follows



Notes

(1) Portfolio holdings are shown by life office

(2) The values shown at 31 May 2006 are expressed in thousands pounds sterling
using exchange rates applicable at 31 May 2006. The portfolio assets are US
dollar-denominated.

Enquiries

Nigel Massey

Kleinwort Benson (Channel Islands) Fund Services Limited

Company Secretary

Tel: 01481 727111



END

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